Facilitation of deterministic interaction with a dynamically changing transaction processing environment

ABSTRACT

The disclosed embodiments relate to ensuring that a selected value, selected, for example, via interaction with a graphic user interface, of a dynamically changing parameter, such as a price, is used when generating an electronic data transaction request message in a data transaction processing system, such as an electronic trading system. The data transaction processing system being a system in which data items, such as financial contracts, e.g., futures contracts, are transacted or otherwise traded by a hardware matching processor that attempts to match electronic data transaction request messages with electronic data transaction request messages counter thereto for the same one of the data items based on multiple transaction parameters. A selected value is temporarily buffered allowing the represented value to update wherein a subsequently generated transaction may be based on the buffered value rather than an updated value.

REFERENCE TO RELATED APPLICATIONS

This application claims priority to and the benefit as a continuationunder 37 C.F.R. 1.53(b) of U.S. patent application Ser. No. 17/977,272,filed Oct. 31, 2022, now U.S. Pat. No. ______, issued ______, whichclaims priority to and the benefit as a continuation under 37 C.F.R.1.53(b) of U.S. patent application Ser. No. 17/513,294, filed Oct. 28,2021, now U.S. Pat. No. 11,521,269, issued Dec. 6, 2022, which claimspriority to and the benefit as a continuation under 37 C.F.R. 1.53(b) ofU.S. patent application Ser. No. 16/128,713, filed Sep. 12, 2018, nowU.S. Pat. No. 11,182,854, issued Nov. 23, 2021, which claims priority toand the benefit as a continuation under 37 C.F.R. 1.53(b) of U.S. patentapplication Ser. No. 14/801,417, filed Jul. 16, 2015, now U.S. Pat. No.10,102,579, issued Oct. 16, 2018, all of which are incorporated byreference in their entirety.

A financial instrument trading system, such as a futures exchange,referred to herein also as an “Exchange”, such as the Chicago MercantileExchange Inc. (CME), provides a data transaction processing system whichimplements a contract market where data items, such as financialinstruments, for example futures and options on futures, aretransacted/traded. Futures is a term used to designate all contracts forthe purchase or sale of financial instruments or physical commoditiesfor future delivery or cash settlement on a commodity futures exchange.A futures contract is a legally binding agreement to buy or sell acommodity at a specified price at a predetermined future time. An optionis the right, but not the obligation, to sell or buy the underlyinginstrument (in this case, a futures contract) at a specified pricewithin a specified time. The commodity to be delivered in fulfillment ofthe contract, or alternatively the commodity for which the cash marketprice shall determine the final settlement price of the futurescontract, is known as the contract's underlying reference or“underlier.” The terms and conditions of each futures contract arestandardized as to the specification of the contract's underlyingreference commodity, the quality of such commodity, quantity, deliverydate, and means of contract settlement. Cash Settlement is a method ofsettling a futures contract whereby the parties effect final settlementwhen the contract expires by paying/receiving the loss/gain related tothe contract in cash, rather than by effecting physical sale andpurchase of the underlying reference commodity at a price determined bythe futures contract, price.

Typically, the Exchange provides for a centralized “clearing house”through which all trades made must be confirmed, matched, and settledeach day until offset or delivered. The clearing house is an adjunct tothe Exchange, and may be an operating division of the Exchange, which isresponsible for settling trading accounts, clearing trades, collecting,and maintaining performance bond funds, regulating delivery, andreporting trading data. The essential role of the clearing house is tomitigate credit risk. Clearing is the procedure through which theClearing House becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the ClearingHouse.

Current electronic data transaction systems which implement financialinstrument trading systems allow traders/users to submit orders andreceive confirmations, market data, and other information electronicallyvia terminals/client computers connected to the system via a datacommunications network, such as the Internet, a private network, or acombination thereof. These “electronic” marketplaces are an alternativeto pit based trading systems whereby the traders, or theirrepresentatives, all physically stand in a designated location, i.e., atrading pit, and trade with each other via oral and hand basedcommunication, referred to as “open outcry” trading. Anyone standing inor near the trading pit may be privy to the trades taking place, i.e.,who is trading, what they are offering to trade (price and quantity),and what ultimately trades. Electronic trading systems attempt toreplicate the trading pit environment in a marketplace of electronicform. In doing so, electronic trading systems ideally offer anefficient, fair, and balanced market where market prices reflect a trueconsensus of the value of traded products among the market participants,where the intentional or unintentional influence of any one marketparticipant is minimized if not eliminated, and where unfair orinequitable advantages with respect to information access are minimizedif not eliminated.

The trading of futures, stocks, bonds, and other financial instrumentsover computer data communications networks has become a very commonactivity. In many countries of the world, such stocks, bonds, and otherfinancial instruments are traded exclusively over such computernetworks, completely replacing prior trading systems such as “openoutcry” trading in trading pits.

Trading of financial instruments, such as futures contracts, typicallyrequires access to multiple types of associated electronic information.For example, to electronically trade a financial instrument, such as afutures contract, an electronic trader typically would like to know thecurrent state of the market for the instrument, i.e., the currentask/sell prices for the instrument as well as current bid/buy prices forthe instrument, the associated quantities available, as well as otherrelevant “market” information, etc.

As the market for a given financial instrument typically changes in realtime as other market participants submit orders to buy/sell and theseorders are matched and cleared, for an electronic trader to besuccessful, the multiple types of associated electronic information,referred to as “market data,” should be supplied in real-time to allowthe electronic trader to make the appropriate decisions based on themost relevant information before the market changes, e.g. because othertraders have placed trades for the same instrument. Such market data istypically displayed in multiple windows of a trading user interfacepresented on a display screen of a computer terminal or other deviceused by the electronic trader, via interaction therewith, to both viewmarket information and place orders to trade.

There are however a number of problems with displaying information, suchas market data, necessary for electronic trading. These problemsgenerally relate to effective presentation of a large volume ofconstantly changing information in a manner which allows a user toassess the information, identify advantageous opportunities/conditions,make decisions, and execute those decisions in an efficient and accuratemanner to implement strategies and take advantage of those advantageousopportunities before conditions change.

There have been attempts to solve some of the problems with GUIs usedfor electronic trading. For example, U.S. Pat. No. 7,243,083, entitled“Electronic spread trading tool” that issued to Burns, et al. teaches “Aversatile and efficient electronic spread trading tool to be used whenbuying and selling comparable commodities either simultaneously or inconjunction with one another. The spread trading tool involves a methodof displaying, on an electronic display device, the market depth of aplurality of commodities including an anchor commodity and a non-anchorcommodity, where the method includes dynamically displaying a pluralityof bids and asks in the market for the commodities, staticallydisplaying prices corresponding to those plurality of bids and asks,where the bids and asks are displayed in alignment with the pricescorresponding thereto, displaying an anchor visual indicatorcorresponding to and in alignment with a desired price level of theanchor commodity, displaying a price level indicator corresponding toand in alignment with a price level of the non-anchor commodity. Basedon an unhedged position and taking into account the parameters andspread price point values, as determined by the trader, price levelindicators are calculated and displayed, which provide a visualrepresentation of where the trader should buy and sell the applicablecommodities. The price level for the price level indicator in thenon-anchor commodity is determined based upon said desired price levelof the anchor commodity. The price level indicator also includes a firstvisual indicator corresponding to and in alignment with a first pricelevel of the non-anchor commodity and a second visual indicatorcorresponding to and in alignment with a second price level of thenon-anchor commodity.”

U.S. Pat. No. 7,228,289, entitled “System and method for trading anddisplaying market information in an electronic trading environment,”that issued to Brumfield, et al. teaches “A system and method fortrading and displaying market information along a static axis aredescribed to ensure fast and accurate execution of trades. The staticaxis, whether is a straight axis or a curved one, can be oriented in anydirection. Regardless of how the axis is oriented, a first region maydisplay price levels that are arranged along the static axis. A secondregion, which overlaps the first region, may display one or moreindicators for highlighting one of the price levels associated with thelowest offer and one of the price levels associated with the highestbid. Moreover, a third region, which overlaps the first region, may beincluded for initiating placement of an order to buy or an order to sellthe tradeable object through an action of a user input device. Otheroverlapping regions may also be displayed so that additional marketinformation may be viewed by a trader.

U.S. Pat. No. 7,218,325, entitled “Graphical display with integratedrecent period zoom and historical period context data,” that issued toBuck teaches “A system and method are provided for displaying a dataseries. In one embodiment, a graphical interface is provided includingat least one axis that is divided into a plurality of axis regions.Preferably, each axis region uses a different linear scale, and theplurality of axis regions forms a continuous non-linear scale. Thegraphical interface also displays the data series in relation to theplurality of axis regions, and the data series is plotted in relation toeach axis region based on a scale resolution corresponding to eachrespective axis region.”

U.S. Pat. No. 7,212,999, entitled “User interface for an electronictrading system,” that issued to Friesen, et al. teaches “A userinterface for an electronic trading exchange is provided which allows aremote trader to view in real time bid orders, offer orders, and tradesfor an item, and optionally one or more sources of contextual data.Individual traders place orders on remote client terminals, and thisinformation is routed to a transaction server. The transaction serverreceives order information from the remote terminals, matches a bid foran item to an offer for an item responsive to the bid corresponding withthe offer, and communicates outstanding bid and offer information, andadditional information (such as trades and contextual data) back to theclient terminals. Each client terminal displays all of the outstandingbids and offers for an item, allowing the trader to view trends inorders for an item. A priority view is provided in which orders aredisplayed as tokens at locations corresponding to the values of theorders. The size of the tokens reflects the quantity of the orders. Analternate view positions order icons at a location which reflects thevalue and quantity of the order. Additionally, contextual data for theitem is also displayed to allow the trader to consider as muchinformation as possible while making transaction decisions. A pit panelview is also provided in which traders connected to the pit arerepresented by icons and are displayed corresponding to an activitylevel of the trader.”

U.S. Pat. No. 7,127,424, entitled “Click based trading with intuitivegrid display of market depth and price consolidation” that issued toKemp II, et al. teaches “A method and system for reducing the time ittakes for a trader to place a trade when electronically trading on anexchange, thus increasing the likelihood that the trader will haveorders filled at desirable prices and quantities. The “Mercury” displayand trading method of the present invention ensure fast and accurateexecution of trades by displaying market depth on a vertical orhorizontal plane, which fluctuates logically up or down, left, or rightacross the plane as the market prices fluctuate. This allows the traderto trade quickly and efficiently. The price consolidation feature of thepresent invention, as described herein, enables a trader to consolidatea number of prices in order to condense the display. Such action allowsa trader to view a greater range of prices and a greater number oforders in the market at any given time. By consolidating prices, andtherefore orders, a trader reduces the risk of a favorable orderscrolling from the screen prior to filling a bid or ask on that order ata favorable price.”

U.S. Pat. No. 7,124,110, entitled “Method and apparatus for message flowand transaction queue management,” that issued to Kemp II, et al.teaches “Management of transaction message flow utilizing a transactionmessage queue. The system and method are for use in financialtransaction messaging systems. The system is designed to enable anadministrator to monitor, distribute, control, and receive alerts on theuse and status of limited network and exchange resources. Users aregrouped in a hierarchical manner, preferably including user level andgroup level, as well as possible additional levels such as account,tradable object, membership, and gateway levels. The message thresholdsmay be specified for each level to ensure that transmission of a giventransaction does not exceed the number of messages permitted for theuser, group, account, etc.”

U.S. Pat. No. 7,113,924, entitled “System and method for electronicspread trading in real and synthetically generated markets” that issuedto Fishbain teaches “A system and method are provided to analyzesynthetic and real markets that offer interchangeable tradeable objectsto find market opportunities that a trader may capitalize on. Asynthetic market is an electronic market created out of real markets bya computer terminal or gateway. A real market is an electronic marketthat is offered by an electronic exchange. If a desirable marketopportunity is found, the preferred embodiments can take action such asby sending orders to either one of the markets, or by sending orders toboth markets. An advantage of the preferred embodiments, among manyothers, is that they can make “invisible” trading opportunities morereadily apparent.”

U.S. Pat. No. 6,993,504, entitled “User interface for semi-fungibletrading,” that issued to Friesen, et al. teaches “A user interface andmethod are disclosed for providing trading between a plurality ofsemi-fungible and non-fungible goods. A plurality of book axes aredisplayed in a single interface, each book axis representing a marketfor a particular good. Orders for goods are displayed as marks on theaxes to display the relative value of the orders. A value axis isprovided that relates the value of the goods from each market to eachother. Thus, a single interface provides the means to relate the valuesof different semi-fungible goods. The value axis may be displayed inunits of price, or a custom value designated by a user or pre-defined bythe interface. Quantity information is represented in the interfacethrough the display of a dimension of an order icon. Precise informationabout each order is displayed either in a panel view or a pop-upwindow.”

U.S. Pat. No. 6,938,011, entitled “Click based trading with market depthdisplay” that issued to Kemp II, et al. teaches “A method and system forreducing the time it takes for a trader to place a trade whenelectronically trading commodities on an exchange, thus increasing thelikelihood that the trader will have orders filled at desirable pricesand quantities. Click based trading, as described herein andspecifically the “Click” and “Dime” methods of the present invention,enables a trader to execute single mouse click trades for large volumesof commodities at a price within a pre-specified range.”

U.S. Pat. No. 6,772,132, entitled “Click based trading with intuitivegrid display of market depth” that issued to Kemp et al. teaches “Amethod and system for reducing the time it takes for a trader to place atrade when electronically trading on an exchange, thus increasing thelikelihood that the trader will have orders filled at desirable pricesand quantities. The “Mercury” display and trading method of the presentinvention ensure fast and accurate execution of trades by displayingmarket depth on a vertical or horizontal plane, which fluctuateslogically up or down, left, or right across the plane as the marketprices fluctuates. This allows the trader to trade quickly andefficiently.”

U.S. Pat. No. 6,766,304, entitled “Click based trading with intuitivegrid display of market depth” that issued to Kemp et al. teaches “Amethod and system for reducing the time it takes for a trader to place atrade when electronically trading on an exchange, thus increasing thelikelihood that the trader will have orders filled at desirable pricesand quantities. The “Mercury” display and trading method of the presentinvention ensure fast and accurate execution of trades by displayingmarket depth on a vertical or horizontal plane, which fluctuateslogically up or down, left, or right across the plane as the marketprices fluctuates. This allows the trader to trade quickly andefficiently.”

U.S. Pat. No. 6,408,282, entitled “System and method for conductingsecurities transactions over a computer network” that issued to Buistteaches “The system and method of the preferred embodiment supportstrading of securities over the Internet both on national exchanges andoutside the national exchanges. The preferred embodiment supports animproved human interface and a continuous display of real-time stockquotes on the user's computer screen. The ergonomic graphical userinterface (GUI) of the preferred embodiment includes several functionalbenefits in comparison with existing on-line consumer trading systems.In the preferred embodiment, the users are subscribers to a securitiestrading service offered over the Internet. Preferably, each subscriberto this service is simultaneously connected from his own computer to afirst system which provides user-to-user trading capabilities and to asecond system which is a broker/dealer system of his/her choice. Thesystem providing the user-to-user trading services preferably includes aroot server and a hierarchical network of replicated servers supportingreplicated databases. The user-to-user system provides real-timecontinuously updated stock information and facilitates user-to-usertrades that have been approved by the broker/dealer systems with whichit interacts. Users of the preferred system can trade securities withother users of the system. As part of this user-to-user trading, a usercan accept a buy or sell offer at the terms offered or they may initiatea counteroffer and negotiate a trade.”

U.S. Pat. No. 5,297,031, entitled “Method and apparatus for ordermanagement by market brokers” that issued to Gutterman et al. teaches“There is provided a broker workstation for managing orders in a marketfor trading commodities, securities, securities options, futurescontracts and futures options and other items including: a device forselectively displaying order information; a computer for receiving theorders and for controlling the displaying device; and a device forentering the orders into the computer; wherein the displaying devicecomprises a device for displaying selected order information about eachincoming order, a device for displaying a representation of an orderdeck and a device for displaying a total of market orders. In anotheraspect of the invention, there is provided in a workstation having acomputer, a device for entering order information into the computer anda device for displaying the order information entered, a method formanaging orders in a market for trading commodities, securities,securities options, futures contracts and futures options and the likecomprising the steps of: selectively displaying order informationincoming to the workstation; accepting or rejecting orders correspondingto the incoming order information displayed; displaying accepted orderinformation in a representation of a broker deck; and selectivelydisplaying a total of orders at the market price.”

U.S. Published Patent Application US20020035534, entitled “Method andapparatus for auctioning securities,” that was published by Buist, etal. teaches “The present invention is a system and method for conductingan on-line auction of securities. A preferred method of auctioning asecurity comprises the steps of: transmitting to a plurality ofpotential bidders information identifying the security, a price rangehaving a maximum price and a minimum price, and a time for the auction;receiving from each bidder an offer price for a number of units of thesecurity; transmitting to bidders information concerning the bids thatare received; closing the auction either when offers are received forall units of the security at the maximum price or when a predeterminedtime has elapsed; and upon closing the auction, allocating units of thesecurity so that all bids at a price in excess of the closing price arefilled and all bids at the closing price or less are filled on afirst-come, first-served basis.”

However, none of these attempts solves all of the problems associatedwith GUIs used for electronic trading.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative computer network system that may be usedto implement aspects of the disclosed embodiments.

FIG. 2 depicts a block diagram of an exemplary implementation of thesystem of FIG. 1 for ensuring deterministic selection of a value via aninterface.

FIG. 3 depicts a flow chart showing operation of the system of FIGS. 1and 2 .

FIG. 4 shows an illustrative embodiment of a general computer system foruse with the system of FIGS. 1 and 2 .

FIG. 5A-5H depicts sample screen displays showing the operation of thesystem of FIGS. 1-3 according to one embodiment.

DETAILED DESCRIPTION

The disclosed embodiments relate to ensuring, such as via a systemand/or method for operating a user interface and/or via the arrangementand operation of the user interface itself, that a selected value,selected, for example, via interaction with a graphic user interface, ofa dynamically changing parameter, such as a price, is used whengenerating an electronic data transaction request message, such as anorder to transact, e.g. trade, a data item, e.g. a financial instrument,based on the selected value in a data transaction processing system,such as an electronic trading system. The data transaction processingsystem being a system in which data items, such as financialinstruments, e.g. futures contracts, are transacted or otherwise tradedby a hardware matching processor that attempts to match electronic datatransaction request messages with electronic data transaction requestmessages counter thereto for the same one of the data items based onmultiple transaction parameters, e.g. price, quantity, side, specifiedby the electronic data transaction request messages received fromdifferent client computers, e.g. trading terminals, over a datacommunication network and transmits electronic data transaction resultmessages to the client computers indicative of the results thereof, eachof the electronic data transaction result messages comprising first andsecond result parameters having values associated therewith, e.g.indicative of available aggregate quantity to buy or sell at anassociated price, or data indicative of an update thereto.

As was described above, graphic user interfaces for representing andinteracting with dynamically changing market data, i.e., buy/sell pricesand available quantities, for a tradeable financial item, e.g., afutures contract, take many forms in order to present the dynamicallychanging data in a manner which allows a user to assess the market dataas well as make and execute decisions with respect thereto. Inparticular, when a user wishes to place an order at a particular pricepresented via the interface, some interfaces allow the user to interactwith the depicted representation of the price using a user interfacedevice, such as a mouse, in order to place their desired order in anintuitive and efficient manner.

As will be described in more detail below, when traders submit datatransaction request messages comprising orders, to buy or sell aparticular quantity of a given financial instrument at a particularprice to a data transaction processing system, e.g., an electronictrading system, these orders are ultimately received by a hardwarematching processor of the data transaction processing system, oneembodiment thereof described in more detail below. The hardware matchingprocessor is coupled with a database or other data store, referred to asan order book, which contains data records representative of previouslyreceived data transaction request messages comprising orders to buy orsell which were not previously completely satisfied, e.g., unfilled, oronly partially filled. Generally, the order book lists availablequantities to buy or sell at associated prices, also referred to asprice levels, and, as will be described, generally represents thecurrent state of a “market” for the transacted item. As will bedescribed, the order book database keeps track of individual unsatisfieddata transaction request messages submitted by market participants,e.g., for the purpose of later allocating quantities of matching countertransactions and accounting for completion of those transactions to theparticular participants. However, as electronic trading systemstypically operate anonymously, only data indicative of aggregateavailable quantities to buy or sell at particular prices, or indicativeof changes thereto, is made available to participants. Of course, amarket participant is aware of the transactions they themselves submitand the electronic trading system may provide confirmation and/or statusdata indicative of the status of those transactions specifically to themarket participant. As will be used herein, the “inside market” refersto the current best price to buy, e.g., the highest price at which thereis available quantity to buy, and the current best price to sell, e.g.,the lowest prices which there is available quantity to sell, listed inthe order book database, also referred to as the best bid and best askprices. Further, the term “market depth” may refer to the collection ofthose prices at which quantities to buy or sell are available. Wherethere are quantities to buy or sell at a wide range of prices, marketdepth may further refer to a subset thereof, e.g., a user or systemdefined range or number of price levels from the inside market, such asthe 5 next highest and lowest price levels from the inside market. Thismay also be referred to as the “visible market depth”, while marketdepth refers to all price levels at which there are availablequantities. Market depth and/or visible market depth may comprisediscontinuous prices, i.e., a price at which there is no availablequantity may not be included in the market depth while adjacent prices,higher and/or lower, having available quantity are included.

For the incoming data transaction request message, the hardware matchingprocessor attempts to determine if one or more of the previouslyreceived data transaction requests messages stored in the order bookdatabase “match”, i.e., is for an order counter, e.g., buy/bid vs.sell/ask/offer or sell/ask/offer vs. buy/bid, to the order of theincoming data transaction request message at the requested, or in someimplementations a better, price. If there is no match found, thehardware matching processor creates a new data record in the order bookdatabase for the incoming data transaction request message and awaitsthe next incoming data transaction request message, referred to as“resting the order on the order book”. If there is a match found, thehardware matching processor determines how much of the quantity of theorder of the incoming data transaction request message is satisfied. Ifthe incoming quantity and the total quantity of the matching one or moredata transaction requests from the order book database are equivalent,the matching data transaction requests are removed. If the incomingquantity is less than the total quantity of the matching one or moredata transaction requests from the order book database, the data recordsof the order book database are updated to reflect the unsatisfiedremaining quantity of the matching one or more data transaction requestsfrom the order book database, with any fully satisfied data transactionrequests being removed from the order book database. When the availablequantity exceeds the incoming quantity due to multiple suitable restingorders, the hardware matching processor may determine an allocation ofthe incoming quantity among those suitable resting orders, such as bysatisfying the first received orders first, referred to as “first infirst out” or FIFO, or may allocate the incoming quantityproportionally, referred to as “pro rata,” or using a combinationthereof, until the incoming quantity is exhausted. If the incomingquantity is more than the total quantity of the matching one or moredata transaction requests from the order book database, the matching oneor more data transaction requests are removed from the order bookdatabase and a new data record in the order book database is created toreflect the unsatisfied remainder of the incoming data transactionrequest, referred to as a “partial fill.” Furthermore, traders maysubmit data transaction request messages comprising order to modify orcancel a previously submitted data transaction request message for anorder which has yet to be satisfied, i.e., which is presently listed inthe order book database, such as to modify the price and/or quantity ofthose transactions.

No matter the result, the hardware matching processor then typicallygenerates an electronic data transaction result message, e.g., a marketdata message, which reflects any changes to the order book databasebased on the attempt to match the incoming data transaction requestmessage. As will be described, this message may comprise data indicativeof the current state of the order book, e.g., a current list of all or asubset of available quantities to buy and/or sell at associated prices(market depth) or may comprise data indicative of a change in all or asubset of available quantities available to buy or sell at associatedprices. The data transaction result messages are typically broadcast toall market participants via the data communications network and arereceived by the trader's client device/terminal to be presented via anoutput interface thereof by the trading software operating thereon, aswill be described. Transmitting changes to the order book database mayconsume less bandwidth than sending the entire market depth but may thenrequire the receiving device to track and apply those changes in orderto determine the current state of the order book database.

As data transaction request messages comprising orders to buy or sell atvarious quantities and at various prices are constantly being receivedby the data transaction processing system, the order book database isconstantly changing with respect to the prices and quantities availablefor purchase or sale, e.g., the inside market is typically constantlychanging, and data transaction result messages indicative of thesechanges are constantly, i.e., in “real time” relative to those changes,being transmitted in response thereto. “Volatility” typically refers tothe frequency or rate of those changes while “volume” typically refersto the magnitude of the changes in available quantity.

As was described above, it is common for trading interface software todepict the state of an order book on the output interface, e.g.,display, of a client device, in the form of a grid of cells/rowsshowing, for each available price, the available quantity to buy orsell.

The vertical display of market information and order entry techniquestaught by the patent “Click Based Trading With Intuitive Grid Display ofMarket Depth” (U.S. Pat. No. 6,772,132), described above, relies upon astatic display of prices, aligned either vertically or horizontally,referred to as a ladder, that do not change with the change in theinside market (i.e., the best bid and ask markets together) of theapplicable instrument. That is, the prices are listed in rows and theavailable quantities at each price are displayed in the appropriate row.Given the limitation of the available screen area for showing prices,only a limited number of price rows are displayed, e.g., a limited pricerange. If there is no available quantity, the price is still shown butno quantity is indicated. Using this interface, a trader may place anorder to trade a particular price, generally, by selecting a pricedepicted on the display using a user interface device, such as acomputer mouse to move a pointer on the display over the price level anddouble-clicking a button on the mouse.

As the order book changes, the display is updated to reflect thequantities available, but the prices remain fixed in their depictedposition. This causes the market volumes to “climb” up and down theprice ladder such that if the price of the instrument is rising orfalling continuously there comes a point when, for example, the askquantities available in the market are not fully visible because the bidvolumes have climbed to the top of the ladder, i.e., to the edge of thedisplay/limit of the depicted price range, and only a few ask quantitiesmay be visible.

At some point, the ladder display will receive a “recenter” instructionand the static display of prices in the ladder will recenter such thatthe current traded price, or inside market, is moved to the middle ofthe vertical display and the number of ask prices and quantitiesavailable will be equal, approximately, to the number of bid prices andquantities available, i.e., the depicted price range will be adjusted tocenter around the most recent inside market. Recentering may occurmanually or automatically, such as after an elapse of time. However, ifprices continue to rise (or fall), this previous situation will reoccurand fewer ask prices and quantities will be visible than bid prices andquantities, until recentering occurs once again. The advantages that aregained from this method of static price display are that prior to arecentering event when the prices are fixed on-screen, a trader willhave an ability to click into a row associated with a particular price,or drag and drop an existing order into the row, and be very confidentthat the order will be entered at that price (i.e., with “pricecertainty”) because, except for recentering events, the price rows arestatic and there is no chance that a change in market price will impactthe price intended on the order or order modification, i.e. the pricewill level will not move out from underneath the mouse pointer beforethe trader has chance to double-click. This price certainty of an orderis the primary benefit of this static price display.

However, several problems exist that are the result of the static pricedisplay and recentering events. In particular, in order to maintainvisibility of the buy and sell quantities available in the market for agiven number of market depth, e.g., the 5 best bid prices and quantitiesand the 5 best ask prices and quantities, the trader must increase thetotal number of visible static prices to greater than 10, e.g., 20, sothat when the bid volumes climb up one row on the ladder, the offervolume associated with the 5th best offer price does not immediatelybecome out of view on the ladder price display. Since the trader needsto display more than 10 rows to be able to continue to see all of the 5best markets on both the bid and offer sides, this causes the trader toallocate screen surface area to display, for example, the 6th to the10th best prices above the best 5 offers and the 6th-10th below the 5best bids even though the trader may not be interested in the 6th to the10th best bids/offers. As display/screen area is a limited resource,allocating screen surface area to display markets that the trader is notcurrently interested is undesirable since the trader could use thatscreen area to display other information, such as a price ladder foranother market of interest.

Furthermore, because each trader controls their own display and, inparticular, designates when the static price ladder is recentered, whenthe current market is such that the bid or offer price has moved in onedirection, up or down, to the extent that not all 5 of the best bids (oroffers) are viewable on screen, the trader is at a disadvantage to onethat has devoted more display area to show a larger range of pricelevels and/or has recently recentered their display and can see all 5 ofthe best bid (or offer) prices and associated volumes.

If the trader tries to avoid the problem noted above by setting therecentering command to occur more frequently, e.g., whenever the 5thbest price would fall off screen, then the trader is disadvantagedbecause they may want to trade at the time that the recentering occursand either pick the wrong price due to the recentering or miss hismarket due to the delay of entering his order due to the recentering.Such problems may be exacerbated in a volatile market experiencingfrequent large price swings while, in a low volatility market, extraprice levels may become unnecessary and unused. Further, even if atrader invests in a larger display offering more screen area, there is astill a limit to the field of view of a user, e.g., the amount ofinformation which a user can view and process without excessively movingtheir head.

The disclosed embodiments provide an interface which combinesdynamically changing information with user interactivity in a mannerwhich does not obscure either. The disclosed embodiments allow fordepicting and interacting with a market in a manner which minimizeserrors in entry and ensures deterministic operation, e.g., an attempt toselect a price will result in the intended price being selected, alsoreferred to as “price certainty,” while allowing the display tocontinually recenter keeping the inside market centered and minimizingthe display of market depth and consumption thereby of screen area on adisplay. During the process of selecting a price level to enter a neworder or modify an existing order, e.g., by clicking and dragging to adesired price level, the price at the desired level is buffered orotherwise captured for use in a subsequent order and displayed in aseparate indicator such as a hovering tool tip pop up display, when theuser releases their mouse, e.g., drops. This eliminates any need to holdladder/price levels static which eliminates need for display a widerange of price levels and/or periodic, manually, or automatically,recentering when orders/volume climb up or down. Further, the disclosedembodiments eliminate the need to show numerous price levels across arange (to provide room for market to move and still be visible and staveoff the need to recenter, to keep data (some or all orders) fromrolling/climbing out of view), thereby consuming less area of thedisplay of the client device/computer which the user may then use forother purposes. This results in a less distracting and more compactdisplay which maintains the inside market in fixed position,saves/minimizes consumption of display screen real estate, and keepsimportant information within the field of view of the trader.

In contrast to static price ladders which offer price determinism byfixing the representation of the input parameters, i.e., price values,such that they cannot change prior to a selection, the disclosedembodiments facilitate price determinism/certainty by capturing anintended price value depicted at a selected location on the price ladderand holding that captured price value for use in a subsequenttransaction regardless of whether the price value at the locationsubsequently changes.

FIGS. 5A-5H shows an exemplary interface 500, which may also be referredto as a Market Maker Window or Market Maker Interface, for depicting amarket/order book and allowing for trading of a financial instrumentaccording to one embodiment. The interface 500 is meant to be displayedon a computer display coupled with a client device/tradingterminal/computer of a trader, such as the display 414 described belowwith respect to FIG. 4 . It will be appreciated that the disclosedembodiments may be implemented by any type of display, now available orlater developed. including touch screen displays, mobile devicedisplays, virtual reality displays, etc. Furthermore, interaction withthe interface 500 may be accomplished with any one or more userinterface devices, or combinations of devices, now available or laterdeveloped, such as the user input devices 416 described below withrespect to FIG. 4 , coupled with the client device/tradingterminal/computer, such as keyboards, mice, touch screens, virtualreality input devices, eye tracking devices, etc. or other devicesdesigned to translate user intention into data inputs to the device.

As will be described, the presentation and operation of the userinterface 500 may be implemented by the system 200, as described indetail below, which may be implemented via computer program logic storedin a memory and executed by a processor, such as the memory 404 andprocessor 402 described below with respect to FIG. 4 , of the clientdevice or trading terminal used by the user.

The interface 500 includes a first section which comprises a grid ofcells 520 and second section 512A, 512B which provides interactivecontrols which allow a user to set quantities for orders via pre-set“buttons” and/or an input operative to receive an arbitrary quantityvalue. The grid 520 is arranged vertically into two sets of side by sidecolumns for displaying buy orders 502A and sell orders 502B. It will beappreciated that a horizontal, where the price levels are shown acrosscolumns rather than across rows, etc. or other arrangement of the gridof cells 520 may also be used. A number of rows 504A, 504B are providedfor depicting market depth or a subset thereof, i.e., prices at whichquantities of the financial instrument are available to buy 504A or sell504B. Each row may be referred to as a market depth or the collection ofrows may be referred to as a market depth or visible market depth. Thenumber or rows, e.g., the degree of visible market depth may beconfigurable or may be fixed. In the exemplary screen displays of FIGS.5A-5H, the market depth is 5, i.e., the 5 best bid and the 5 best askprice levels are displayed as will be described and any market depth forprices outside of the best 5 are not displayed (but as described hereinmay be stored by the interface 500/system 200). In one embodiment, asdepicted in the figures, the inside market 522 is always shown in themiddle rows of the grid 520 with the remaining visible market depthextending equally up or down (depending on the sort/arrangement)therefrom though in an alternate embodiment, the display may beconfigured, by the user or by the interface designer, asymmetrically toshow more market depth for bids over asks or vice versa. The displayedprices of adjacent price levels may be discontinuous, i.e., if there isno available quantity at a particular price, then that price is notshown and, instead, the next best price having available quantity isshown. In this manner, the display may always show the nth best pricesin the market having available quantity, where n is the configured orpreset market depth. The bid side 502A and offer/ask side 502B columnseach include a column showing the pending aggregate quantity for anyorders submitted by the trader operating the interface 500, labeled “MyQty” 506A, 506B, a column showing the total aggregate availablequantity, which includes the trader's own quantity plus the totalavailable quantity due to orders placed by other traders labeled “Qty”508A, 508B, and a column indicating the price corresponding to theavailable quantity labeled “Bid” or “Ofr” 510A, 510B. Herein the termsoffer (or ofr) and ask may be used interchangeably to refer to offers tosell. In one embodiment, the rows are collectively sorted or otherwisearranged by the displayed prices in the bid and ask columns in ascendingor descending order. As ask prices for available quantities will alwaysbe higher than bid prices (unless the order book is crossed), this hasthe effect of stacking the rows corresponding to available ask quantity504B on top or below the rows corresponding to available bid quantity504A as shown in the figure. In an alternate embodiment, thearrangement/sort order of the ask rows (or the bid rows) may beconfigured, by the user or fixed, to be reversed which may have theeffect of collapsing the bid and ask rows such that available bidquantity and available ask quantity appear side by side with the insidemarket appearing in the top row (not shown). This may be referred to asa “top of book” arrangement. The quantity controls 512A, 512B allow auser to define a preset (by pressing one of the defined “buttons”) orarbitrary quantity (by adjusting a variable value input or keying in aspecific number) value for use in a subsequently placed trade order aswill be described. While the disclosed embodiments will be describedwith respect to dynamically changing prices and price levels, it will beappreciated that the disclosed embodiments may be applicable to otherimplementations where a different dynamically changing parameter formsthe bases of a user's interaction, such as available quantity or someother measure of value or risk, e.g. delta, i.e., a ratio of change inprice of an underlier to the corresponding change in a derivativeinstrument based thereon, or other measure of a financial instrument nowknown or later developed, such as other “greeks”, i.e., measures of risksuch as Theta, Gamma, Vega or Rho wherein Theta represents the rate ofchange between an option portfolio and time, or time sensitivity, Gammarepresents the rate of change between an option portfolio's delta andthe underlying asset's price—in other words, second-order time pricesensitivity, Vega represents the rate of change between an optionportfolio's value and the underlying asset's volatility—in other words,sensitivity to volatility and Rho represents the rate of change betweenan option portfolio's value and the interest rate, or sensitivity to theinterest rate.

In operation, as will be described in more detail below, as electronicdata transaction result messages are received by the system operatingthe depicted user interface 500 representing changes to the order bookdatabase due to operation of the hardware matching processor, asdescribed above, for the financial product, the display 500 is updated.Updates to the data displayed by the interface 500 in response toreceipt of a data transaction result message, as those messages arereceived, may referred to as occurring in real time. For example, if allavailable quantity at a particular price is traded, the display 500 maybe updated to remove that price level from the display as there is noremaining available quantity at that price. One or more of the otherdisplayed price levels, which still have available quantity, may then bemoved (up or down) or otherwise rearranged and/or a new additional pricelevel may be added/inserted, if there is one with available quantity, tomaintain the fixed market depth display. For example, if all 100 unitsat price 72.85 are traded, price level 72.85 would be removed from thedisplay. Price levels 72.84, 72.83, 72.82 and 72.81 would then be movedup as price level 72.84 is now the inside market. Further, as the marketdepth is configured to be 5 best prices, the next best price havingavailable quantity, e.g., 72.80, would now be displayed. If a resultmessage were received which merely reflected an update to the availablequantity, either increasing or decreasing the amount, the quantity valueat the associated price level would be updated accordingly on thedisplay 500. This behavior of the display 500 may be characterized as a“static display of best market.”

FIGS. 5B-5H depict the operation of the user interface 500 with respectto the placement of orders to trade the financial instrument by the userof the user interface 500, e.g., to place new orders or modifypreviously submitted orders. While the interactions with the interface500 by the user will be described with respect to a computer mouse orother pointing device controlling a representation of a pointer/cursordepicted on the display relative to the displayed graphical componentsof the interface, it will be appreciated, as was described elsewhereherein, that other interactive devices or combinations of devices may beused.

FIG. 5B shows the exemplary interface shown in FIG. 5A as a userselects, by pressing and holding a button on the mouse, an empty cell516A, i.e., a cell at which no quantity submitted by the user/traderexists, and drags, by moving the mouse while keeping the mouse buttonpressed, the mouse pointer to a cell 516B at a particular price level,i.e. click (press the mouse button) with the pointer pointed at theblank cell and drag by continuing to hold the mouse button down whilemoving the mouse pointer to the desired price level 516B. In computergraphical user interfaces, drag and drop is a pointing device gesture,i.e., a way of combining pointing device movements and clicks which thesoftware recognizes as a specific command, in which the user selects avirtual object by “grabbing” it and dragging it to a different locationor onto another virtual object. In general, it can be used to invokemany kinds of actions or create various types of associations betweentwo abstract objects. Dragging requires more physical effort than movingthe same pointing device without holding down any buttons. Because ofthis, a user may not move as quickly and precisely while dragging (seeFitts' law). However, drag-and-drop operations have the advantage ofthoughtfully chunking together two operands (the object to drag, and thedrop location) into a single action. Dragging may not require the userto hold the mouse button down when certain accessibility options areactivated where the computer assumes a single click operation isintended to drag the selected item and a second click is intended todrop it at the new location.

Once user has dragged the mouse pointer to the desired price level 516B,but before they release the mouse button, an indicator 514A isdisplayed, such as a ghost image, a magnified image, pop up or tool tip,which indicates the price value of the price level to which the user hasdragged the mouse substantially at the moment when the mouse pointerarrived at that location. The indicator 514A may be depicted at aposition relative to or otherwise corresponding to the particular pricelevel 516B, the position of the mouse pointer, or at some other locationwhich may be fixed on the display or may vary depending upon theposition of the price level or mouse pointer. Alternatively, theindicator 514A may be presented in a fixed location within the interface500 such as at the top or bottom. The indicator 514A may feature aconstant portion which displays the price of the price level uponarrival of the mouse pointer and, as will be described, does not changeif the price levels subsequently change due to receipt of a market datamessage indicative of a change in the order book database, and avariable/dynamic portion which changes when the price levels change suchas, for example, to indicate that the price levels have changed and thatthe value shown in the indicator no longer equals the value of the pricelevel at which the mouse pointer is positioned, as will be described inmore detail below. It will be appreciated that the indicator 514A mayfurther indicate other information such as the current quantity and type(buy or sell, new order or order move/modification) which may be used toformulate a new order or order modification if, as will be described,the user instructs the interface 500 to generate an order. In oneembodiment the indicator 514A is displayed immediately upon the arrivalof the mouse pointer at the price level 516B. In alternate embodiments,the indicator 514A may not be displayed until the mouse pointer has beenmoved within the price level 516B by a threshold distance from theboundary thereof, e.g., by more than 2 pixels from the depicted cellboundary, and/or until the mouse pointer has been allowed to rest orloiter within the price level 516B for a threshold amount of time, e.g.,2 milliseconds. As will be described, the user may place an order totrade, i.e., generate a data transaction request message comprising anorder to trade the financial instrument by releasing their mouse buttonat the desired price level 516B. The interface 500 will then generatethe data transaction request message having transaction parametersdefined thereby. That is, the type of order, i.e., buy or sell, would bedefined by whether the user released their mouse button over one of thebid columns 502A, or the ask columns 502B and the quantity, since thisis a new order, would be defined by the setting of the quantity controls512A, 512B. As will further be described, the price for the order willbe the price shown in the indicator 514A (unless, as described it ismodified by the user), regardless of whether an update to the marketdata has been received between the time the user dragged the mousepointer into the price level 516B, and the indicator 514 was displayed,and the time they released the mouse button which resulted in the pricelevels changing, e.g., moving up or down.

FIG. 5C shows the exemplary interface shown in FIGS. 5A and 5B as a usercontinues to drag their mouse pointer from one price level 516B toanother price level 516C without releasing their mouse button. As can beseen, upon arrival at the new price level 516C, the indicator 514B isupdated to show the price at the subsequent price level 516C.

FIG. 5D shows the exemplary interface shown in FIGS. 5A-5C as a usercontinues to drag their mouse pointer to yet another price level 516Dand release their mouse button at that price level 516D to place anorder there-at. The “My Qty” column 506A is updated to show the neworder placed by the user.

FIG. 5E shows the exemplary interface shown in FIGS. 5A-5D as a userselects a quantity 516E for one or more orders they previously placedand drags the quantity, representative of the previously placedorder(s), to a new price level 516F in order to modify/move the pricepreviously placed one or more orders. As shown, upon arrival at the newprice level 516F, the indicator 514C is displayed which shows the pricevalue at the price level upon arrival of the mouse pointer, as well asother information related to the action which the interface will take ifthe user releases their mouse button, e.g., to move the selectedquantity to the new price.

FIG. 5F shows the exemplary interface of FIGS. 5A-5E where, as a userdrags their mouse pointer over a particular price level, an indicator514D, such as a “pop up” or “tool tip” shows the price of the pricelevel (62.56) where the mouse pointer is positioned similar to thatshown in FIG. 5B. In FIG. 5F, the user drags the mouse pointer from theempty cell 516G to the price column 510A of the new price level 516H.FIG. 5G shows the exemplary interface of FIG. 5F where, while the userstill maintains the mouse pointer positioned over a particular pricelevel 516H, that price level 516H changes due to a change in thedepicted order book (to 62.55). However, the indicator 514E, e.g., “popup” or “tool tip”, continues to show the prior price value (62.56) aswas shown by the indicator 514D in FIG. 5F and is indicative of theprice which will be used in an order if the user releases their mousebutton, as shown in FIG. 5H. In one embodiment, the indicator 514E maybe altered, such as to display in a different color, font, and/or style,or may flash or magnify, or a combination thereof, to indicate when theprice displayed in the indicator 514E is different from the price of theprice level over which the mouse pointer is positioned. As shown in FIG.5H, the user has released their mouse button over the price level 516Hafter the price levels had been changed as shown in FIG. 5G. However,the order that was generated was for the price shown in the indicator514E (62.56) which was the price of the price level 516H when, as wasshown in FIG. 5F, the mouse pointer arrived at the price level 516H.

In one embodiment, if a user selects a cell on one side 502A, or 502B ofthe interface 500, e.g., the bid side or ask side, and drags the mousepointer to the opposite side of the interface 500, e.g., from the bidside 502A to the ask side 502B or vice versa, the interface 500 willgenerate a counter order at the price of the price level upon arrival ofthe mouse pointer. That is, if the user drags from the bid side 502A tothe ask side 502B, a bid order for the available ask quantity at theprice level (and the quantity available at any better price levelsshown) will be generated. This allows a user to “aggress” and/or “sweep”the market.

In one embodiment, as long as the user holds their mouse button downwith the pointer positioned over a particular price level, and thecorresponding indicator showing the currently selected price andquantity, the user may actuate another user input device, such as amouse wheel or a key on the keyboard, to modify the price and/orquantity which may be used in a subsequently generated order uponrelease of the mouse button. In one embodiment, a single user inputdevice, such as a mouse wheel, may be used to modify either the price orthe quantity depending on the context of the mouse pointer, e.g., overwhich column of the price level the mouse pointer is positioned. Forexample, if the mouse pointer is positioned over the quantity column,actuating the mouse wheel, i.e., rolling it up or down, will adjust theorder quantity correspondingly whereas if the mouse pointer ispositioned over the price column, actuating the mouse pointer willmodify the price.

In one embodiment, to abort a new order or order modification, a usermay simply move their mouse pointer off the price grid or to a neutrallocation and release their mouse button. In one embodiment, draggingexisting quantity off the grid may cause the interface 500 to submit anorder cancellation for the one or more orders underlying the depictedquantity.

Effectively, the click/drag mouse gesture defines an extended eventwindow (having a defined start and stop), coupled with arrival at alocation, to capture the current price shown at a price level andconveys intent to the interface 500 of desire to place an order at aparticular price. It will be appreciated that combinations of userinterface inputs other than holding a mouse button down while moving themouse may be used, such as holding a key on a keyboard down while movinga mouse, holding a key on a keyboard down while actuating directionalkeys on the keyboard, pressing, and dragging a finger on a touch screen,etc.

In summary, and with reference to FIGS. 5A-5H, the disclosed interface500/market maker window (MMW) allows users to amend orders in thefollowing ways. Each item below may be referred to as “MMW Feature #”.For example, the first one is “MMW Feature 1”:

-   -   1. A trader may be able to drag a quantity in MyQty up and down        the grid from row to row and from column to column. (Note: this        quantity may represent 1 or more orders entered by the trader at        that price. This quantity in the MyQty column that may be        dragged around the market depth grid may be referred to as an        “order” even though the quantity referred to when using “order”        may represent the quantities of more than one order.    -   2. As the trader drags the quantity/order in the MyQty column up        and down the grid into the left MyQty, left Qty, Bid, or Offer        column, an indicator, tool-tip, or similar popup may appear next        to the mouse cursor. This tool-tip may display text like ‘Buy        100@6’ representing the original side (buy/bid or        ask/offer/sell), quantity and new price of the order.    -   3. The price that is displayed in the popup may correspond to        the price on the row of the grid at the moment that the order        was dragged into it.    -   4. When the cursor moves into a new row of a new best market        level, the popup may not display until the cursor is inside the        border by at least 2 pixels.    -   5. If the price of the row that the trader just moved the MyQty        order into changes after the indicator has displayed a price,        then the price in the indicator popup may NOT change with any        change in the price associated with that row. However, the color        or text of the tool-tip may change to indicate that the price is        no longer consistent with the row position.    -   6. When the trader releases the left mouse button and “drops”        the order into the new price level, it may cause an update to        all orders that had the old price to have the new price.    -   7. If the trader moves his MyQty order from a market level on        the bid side to another market level and within either the Bid        or Offer column (both are price columns), the indicator may        display the price at that row when the cursor entered the row.        If, while continuing to hold down the left mouse button and with        the order in either price column, the trader additionally spins        his mouse wheel up one tick, then the price of the order        displayed in the popup will move up one tick, and if the trader        spins his mouse wheel down one tick, the price of the order        displayed in the popup will move down one tick. To move the        price up five ticks from the price level of a row and enter the        order modification, the trader would move the order into the        appropriate price column of the desired row and, while        continuing to hold down the left mouse button, spin the mouse        wheel up 5 ticks, view the newly changed price up five ticks        from the original price of the row moved into, then release the        left mouse button to enter the order.    -   8. If the trader moves his MyQty order from a market level on        the bid side to another market level and within either the left        MyQty or left Qty column, the tool tip should display the price        at that row when the cursor entered the row. If, while        continuing to hold down the left mouse button and with the order        in either the left MyQty or left Qty column, the trader        additionally spins his mouse wheel up one tick, then the        quantity of the order displayed in the popup will move up one        quantity unit (quantity unit is set as a trader preference per        product), and if the trader spins his mouse wheel down one tick,        the quantity of the order displayed in the popup will move down        one quantity unit. To move the quantity of the order up five        quantity units from the original MyQty quantity, the trader        would move the order into the MyQty or Qty column intersecting        the desired price row and, while continuing to hold down the        left mouse button, spin the mouse wheel up 5 ticks, view the        newly changed quantity up five quantity units from the original        quantity of the MyQty order, then release the left mouse button        to enter the order.    -   9. If the trader drags an order from the left MyQty column to        another price level row and into either the right Qty or right        MyQty column, then the indicator may display (“Buy”+“a quantity        equal to the aggregated quantity of all best offer markets up to        and including the new price level @ the price of the new level        at the time the trader entered the order into it”). For example,        if the trader drags the order to buy 100@4 to the right Qty        column containing 21 in the 2nd best offer price level,        currently containing the price of 7, the popup tool-tip should        display “Buy 121@7”. This feature may enable traders to sweep        the market. Similar to how the price in the popup does not        change with a subsequent change in the price of the row when the        cursor first moved into the row, a change in the quantity of the        popup should also not occur when there is a change in the        quantity in the market at that market level since the time the        popup first appeared. Again, as with underlying price changes,        it is desirable to have the popup change color if the quantity        at that market level changes from the quantity in the “sweep”        order popup.    -   10. If the trader drags an order as described in MMW Feature 9        and, while continuing to hold down the left mouse button, spins        the mouse wheel up/down a number of ticks, then the aggregated        volume of the displayed indicator may tick up/down the        corresponding number of quantity units as were ticked up/down by        the trader.    -   11. All functionality that has been described for left MyQty        orders also applies to right MyQty orders in a similar but        opposite side fashion.

As discussed above, the operations described above may be applied to theentry of a new order. What is needed is the ability to generate aquantity and have it display on screen and then drag it to theappropriate market level row exactly as has been previously described.For new orders, the quantity may be set in numerous ways, includingutilizing the quantity controls 512A, 512B shown in FIGS. 5A-5H.Continuing the list of Market Maker Window features previously setforth, features for entering a new order may include:

-   -   12. After a quantity has been populated into the Bid Quantity        box, it may be selectable with a mouse cursor.    -   13. With the quantity selected in the Bid Quantity box, the user        may be able to drag the Quantity into the market depth section        of the Market Maker Display and an indicator may be displayed        which illustrates that the order is a new order, that it is a        buy order and with the quantity and price indicated. The price        assigned to the order may be based on the cursor entering the        market depth row exactly as taught in the previous MMW features        1-11.

By combining a vertical ladder display that contains a fixed number ofbest markets with dragging a MyQty order, to amend an order, or withdragging a quantity in the Bid or Offer Quantity box within the MarketMaker Order dialog, to create a new order, to a specific market depthlevel in the vertical market depth display which causes an indicator todisplay indicating buying or selling the quantity being dragged at theprice of the row when the cursor entered the row, a trader is easilyable to view all of the best X number of markets simultaneously andcontinuously in a vertical price format, quickly and easily change theprice of an order or enter a new order, both with price certainty, bydropping it into the indicated row without wasting any screen realestate and without the chance of entering an order with an unintendedprice due to a recentering event.

The disclosed embodiments offer an intuitive vertical view of marketdepth information that traders like and it combines features that makeit easy for a trader to enter or amend an order by dragging a graphicalrepresentation of the order, i.e., the popup that illustrates thequantity and price of the order, to a new price level and enter a neworder or effect a change to an existing order quickly and easily. Thetrader has the option to change the price and/or volume of the order bydragging and dropping or dragging, spinning the mouse wheel, anddropping. Depending on what type of column the order is dragged to,i.e., a quantity column or a price column, the mouse wheel will allowchanges to the popup quantity or price, respectively, and the trader isable to change both quantity and price, in a series of related actionsof dragging, spinning, and dropping. This process is much quicker thanbringing up a modify order dialog and modifying the order by changingvalues in fields and it has the advantage of the trader being able toview all the displayed best markets at the same time they are changingthe price and/or volume of his existing orders or entering a new order.

While the disclosed embodiments may be discussed in relation topresentation of financial related data to participants in an electronictrading system, it will be appreciated that the disclosed embodimentsmay be used to implement an interface operative to ensure that aselected value, selected, for example, via interaction with a graphicuser interface, of a dynamically changing parameter, such as a price orother parameter, is used when generating an electronic data transactionrequest message in a data transaction processing system.

With respect to the disclosed electronic trading system embodiment, theterm “participant” may refer to a trader, clearing member, marketparticipant, or other user of an electronic trading system who interactswith the electronic trading system via a client device/computer, such asa, desktop or mobile trading terminal, computer, or other device, via awired and/or wireless data communications network. The term “message”may refer to electronic data transaction request messages which maycomprise orders to trade, e.g., buy or sell, a financial product, orrequests to modify or cancel previous orders, as well as electronic datatransaction result messages which comprise the responses thereto, aswill be described. However, it will be appreciated that a participantmay be any user of a communications system or may refer to a device usedby such as user, and a message, whether requests or responses thereto,may be for any purpose, as described herein.

Further, while the disclosed embodiments may be discussed in relation tofutures and/or options on futures trading, it will be appreciated thatthe disclosed embodiments may be applicable to any equity, options orfutures trading system or market now available or later developed. Itwill be appreciated that a trading environment, such as a futuresexchange as described herein, implements one or more economic marketswhere rights and obligations may be traded via a data transactionprocessing system in which data items, e.g. data records indicative offutures contracts, are transacted by a hardware matching processor thatattempts to match electronic data transaction request messages withelectronic data transaction request messages counter thereto for thesame one of the data items based on multiple transaction parametersspecified by the electronic data transaction request messages receivedfrom different client devices/computers over a data communicationnetwork and transmits electronic data transaction result messages to theclient computers indicative of the results thereof.

As such, a trading environment may be characterized by a need tomaintain market determinism, integrity, transparency, predictability,fair/equitable access, and participant expectations with respectthereto. For example, an exchange must respond to inputs, such as traderorders, cancellation, etc., in a deterministic manner, i.e., in a manneras expected by the market participants, such as based on market data,e.g., prices, available counter-orders, etc., to provide an expectedlevel of certainty that transactions will occur in a consistent andpredictable manner. In addition, it will be appreciated that electronictrading systems further impose additional expectations and demands bymarket participants as to transaction processing speed, latency,capacity, and response time, while creating additional complexitiesrelating thereto. Accordingly, as will be described, the disclosedembodiments may further include functionality to ensure that theexpectations of market participant are met, e.g., that deterministic andpredictable system responses are maintained.

As used herein, a data transaction message, also referred to as anelectronic data transaction message, refers both to messagescommunicated by users, e.g., market participants, to a data transactionprocessing system of an electronic trading system (data transactionrequest messages) and vice versa (data transaction result messages).Data transaction messages communicated to the electronic trading system,also referred to as “inbound” messages, may include request or ordermessages, such as trader orders, order modifications, ordercancellations and the like, as well as other message types and may bereferred to herein as data transaction request messages. Datatransaction messages communicated from the electronic trading system,referred to as “outbound” messages, may include messages responsive toinbound messages, such as confirmation or acknowledgment messages, orother messages such as market update messages, quote messages, and thelike, and may be referred to herein as data transaction result messages.

Data transaction messages may further be categorized as having, in thecase of request messages, or reflecting, in the case of result messages,an impact on a market or electronic marketplace, also referred to as an“order book” or “book,” for a traded product/financial instrument, suchas a prevailing price therefore, number of resting orders at variousprice levels and quantities thereof, etc., or not having or reflectingan impact on a market or a subset or portion thereof. For example, arequest to place a trade may result in a response indicative of thetrade either being matched with, or being rested on an order book toawait, a suitable counter-order. This response may include a messagedirected solely to the trader who submitted to the order to acknowledgereceipt of the order and report whether it was matched, and the extentthereto, or rested. The response may further include a message to allmarket participants reporting a change in the order book due to theorder. This response may take the form of a report of the specificchange to the order book, e.g., an order for quantity X at price Y wasadded to the book (referred to as a Market By Order message), or maysimply report the result, e.g., price level Y now has 5 orders for atotal quantity of Z (where Z is the sum of the previous resting quantityplus quantity X of the new order) (referred to as a Market By Pricemessage). In some cases, requests may elicit a non-impacting response,such as temporally proximate to the receipt of the request and thencause a separate market-impact reflecting response at a later time. Forexample, a stop order, fill or kill order, aka an immediate or cancelorder, or other conditional request may not have an immediate marketimpacting effect, if at all, until the requisite conditions are met.Accordingly, an acknowledgement or confirmation of receipt, e.g., anon-market impacting communication, may be sent to the trader simplyconfirming that the order was received. Upon the conditions being metand a market impacting result thereof occurring, a market-impactingmessage may be transmitted as described herein both directly back to thesubmitting market participant and to all market participants (in aMarket By Price “MBP” or Market By Order “MBO” format). It will beappreciated that additional conditions may be specified, such as a timeor price limit, which may cause the order to be dropped or otherwisecanceled and that such an event may result in anothernon-market-impacting communication instead. As will be described below,in some implementations market impacting communications may becommunicated via the data communications network separately fromnon-market impacting communications, such as via a separatecommunications channel or feed. It will be further appreciated thatvarious types of market data feeds may be provided which reflectdifferent market or aspects thereof. Market participants may then, forexample, subscribe, such as via the interface of their client device, toreceive those feeds of interest to them. As market impactingcommunications tend to be more important to market participants thannon-impacting communications, this separation may reduce congestion andor noise among those communications having or reflecting an impact on amarket or portion thereof. Furthermore, a particular market data feedmay only communicate information related to the top buy/sell prices fora particular product, referred to as “top of book” feed, e.g., onlychanges to the top 10 price levels are communicated. Such limitationsmay be implemented to reduce consumption of bandwidth and messagegeneration resources. In this case, while a request message may beconsidered market-impacting if it affects a price level other than thetop buy/sell prices, it will not result in a message being sent to themarket participants. Generally, the disclosed embodiments may be used inconjunction with a restructuring of response messages reflecting marketimpacting events to reduce redundant data and convey more relevantinformation about the event to all market participants sooner than lessrelevant information so that the market participants may comprehend theevent more quickly. Furthermore, the disclosed embodiments may be usedin conjunction with consolidation of the communication of market impactreflecting response messages, e.g., responsive to inbound messages, withother market impact reflecting messages as will be described. In otherimplementations, these communications may or may not be furtherconsolidated with non-market impacting messages.

Examples of the various types of market data feeds which may be providedby electronic trading systems, such as the CME, in order to providedifferent types or subsets of market information or to provide suchinformation in different formats include Market By Order, Market Depth(aka Market by Price to a designated depth of the book), e.g., CMEoffers a 10-deep market by price feed, Top of Book (a single depthMarket by Price feed), and combinations thereof. There may also be allmanner of specialized feeds in terms of the content, i.e., providing,for example, derived data, such as a calculated index).

Market data feeds may be characterized as providing a “view” or“overview” of a given market, an aggregation, or a portion thereof orchanges thereto. For example, a market data feed, referred to as aMarket By Price (“MBP”) feed, may convey, with each message, theentire/current state of a market, or portion thereof, for a particularproduct as a result of one or more market impacting events. For example,an MBP message may convey a total quantity of resting buy/sell orders ata particular price level in response to a new order being placed at thatprice. An MBP message may convey a quantity of an instrument which wastraded in response to an incoming order being matched with one or moreresting orders. MBP messages may only be generated for events affectinga portion of a market, e.g., only the top 10 resting buy/sell ordersand, thereby, only provide a view of that portion. As used herein, amarket impacting request may be said to impact the “view” of the marketas presented via the market data feed. An MBP feed may utilize differentmessage formats for conveying different types of market impactingevents. For example, when a new order is rested on the order book, anMBP message may reflect the current state of the price level to whichthe order was added, e.g., the new aggregate quantity and the newaggregate number of resting orders. As can be seen, such a messageconveys no information about the resting orders, including the newlyrested order, themselves to the market participants. Only the submittingmarket participant, who receives a separate private messageacknowledging the event, knows that it was their order that was added tothe book. Similarly, when a trade occurs, an MBP message may be sentwhich conveys the price at which the instrument was traded, the quantitytraded and the number of participating orders, but may convey noinformation as to whose particular orders contributed to the trade. MBPfeeds may further batch reporting of multiple events, i.e., report theresult of multiple market impacting events in a single message.

Alternatively, a market data feed, referred to as a Market By Order(“MBO”) feed, may convey data reflecting a change that occurred to theorder book rather than the result of that change, e.g., that order ABCfor quantity X was added to price level Y or that order ABC and orderXYZ traded a quantity X at a price Y. In this case, the MBO messageidentifies only the change that occurred so a market participant wishingto know the current state of the order book must maintain their own copyand apply the change reflected in the message to know the current state.As can be seen, MBO messages carry much more data because they reflectany market impacting change. Furthermore, because specific orders, butnot the submitting traders thereof, are identified, other marketparticipants may be able to follow that order as it progresses throughthe market, e.g., as it is modified, canceled, traded, etc.

It will be appreciated that number, type, and manner of market datafeeds provided by an electronic trading system are implementationdependent and may vary depending upon the types of products traded bythe electronic trading system, customer/trader preferences, bandwidth,and data processing limitations, etc. and that all such feeds, nowavailable or later developed, are contemplated herein. As such, MBP andMBO feeds may refer to categories/variations of market data feeds,distinguished by whether they provide an indication of the current stateof a market resulting from a market impacting event (MBP) or anindication of the change in the current state of a market due to amarket impacting event (MBO).

Messages, whether MBO or MBP, generated responsive to market impactingevents which are caused by a single order, such as a new order, an ordercancelation, an order modification, etc., are fairly simple and compactand easily created and transmitted. However, messages, whether MBO orMBP, generated response to market impacting events which are caused bymore than one order, such as a trade, may require the transmission of asignificant amount of data to convey the requisite information to themarket participants. For trades involving a large number of orders,e.g., a buy order for a quantity of 5000 which matches 5000 sell orderseach for a quantity of 1, a significant amount of information may needto be sent, e.g., data indicative of each of the 5000 trades that haveparticipated in the market impacting event.

In one embodiment, data transaction messages may be communicated betweenthe client device and the data transaction processing system of theelectronic trading system via a wired and/or wireless datacommunications network using a communications protocol such as theFinancial Interchange (“FIX”) and/or Fix Adapted for Streaming (“FAST”)protocols. It will be appreciated that other communications protocols,such as wireless transmission protocols, now available or laterdeveloped, may be used in addition to and/or in lieu of the FIX/FASTprotocols and is implementation dependent.

In accordance with aspects of the disclosure, systems and methods aredisclosed for operating a user interface on a client device todeterministically and interactively represent a state of a datatransaction processing system. The disclosed embodiments are preferablyimplemented with computer devices and computer networks, such as thosedescribed with respect FIG. 4 , that allow users, e.g., marketparticipants, to exchange trading information. It will be appreciatedthat the plurality of entities utilizing the disclosed embodiments, e.g.the market participants, may be referred to by other nomenclaturereflecting the role that the particular entity is performing withrespect to the disclosed embodiments and that a given entity may performmore than one role depending upon the implementation and the nature ofthe particular transaction being undertaken, as well as the entity'scontractual and/or legal relationship with another market participantand/or the exchange. An exemplary trading network environment forimplementing a data transaction processing system for trading financialproducts is shown in FIG. 1 . The data transaction processing systemincludes an exchange computer system 100 which receives electronic datatransaction request messages, e.g. orders, and transmits electronic datatransaction result messages, e.g. market data related to orders andtrades to users, such as via a data communications network, such as widearea network 126 and/or local area network 124 and clientdevices/computers 114, 116, 118, 120 and 122, as will be describedbelow, coupled with the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed. It will beappreciated that the messages described herein may be receivedsimultaneously by market participants, or temporally so close togetheras to be considered or perceived as being simultaneously received, forexample, the difference in their time of receipt is too close to measureor otherwise discriminate among, also referred to as “substantiallysimultaneously”. Accordingly, this may be implementation dependent anddepend upon the implemented degree to which time of receipt of atransaction may be measured by the receiver, e.g., based on theimplemented number of decimal place or number of bits used to delineatetime of receipt, and/or implemented network collision handlingmechanisms which arbitrate among multiple transactions, e.g., datapackets, headers, or the signals indicative thereof, received within adefined time window.

The exchange computer system 100 may be implemented with one or moremainframe, desktop, or other computers, such as the computer 400described below with respect to FIG. 4 . A user database 102 may beprovided which includes information identifying market participants,e.g., traders and other users of exchange computer system 100, such asaccount numbers or identifiers, usernames and passwords. An account datamodule 104 may be provided which may process account information thatmay be used during trades. A match engine module 106 may be includedwhich in includes a hardware matching processor to match bid and offerprices specified in data transaction request messages as will bedescribed and may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices for available quantities as will bedescribed. A market data module 112 may be included to collect marketdata and prepare the data for transmission to users as electronic datatransaction result messages. A risk management module 134 may beincluded to compute and determine a user's risk utilization in relationto the user's defined risk thresholds. An order processing module 136may be included to decompose delta based and bulk order types forprocessing by the order book module 110 and/or match engine module 106.A volume control module 140 may be included to, among other things,control the rate of acceptance of mass quote messages in accordance withone or more aspects of the disclosed embodiments. It will be appreciatedthat concurrent processing limits may be defined by or imposedseparately or in combination, as was described above, on one or more ofthe trading system components, including the user database 102, theaccount data module 104, the match engine module 106, the trade database108, the order book module 110, the market data module 112, the riskmanagement module 134, the order processing module 136, or othercomponent of the exchange computer system 100.

The trading network environment shown in FIG. 1 includes exemplaryclient/computer devices 114, 116, 118, 120 and 122 which depictdifferent exemplary methods or media by which a computer/client devicemay be coupled with the exchange computer system 100 or by which a usermay communicate, e.g., send and receive, trade or other informationtherewith. It will be appreciated that the types of computer/clientdevices deployed by market participants/traders and the methods andmedia by which they communicate with the data transaction processingsystem, e.g., the exchange computer system 100, is implementationdependent and may vary and that not all of the depicted computer/clientdevices and/or means/media of communication may be used and that othercomputer/client devices and/or means/media of communications, nowavailable or later developed may be used. Each computer/client device,which may comprise a computer 400 described in more detail below withrespect to FIG. 4 , may include a central processor that controls theoverall operation of the computer and a system bus that connects thecentral processor to one or more conventional components, such as anetwork card or modem. Each computer/client device may also include avariety of interface units and drives for reading and writing data orfiles and communicating with other computer/client devices and with thedata transaction processing system/exchange computer system 100. Eachcomputer/client device may implement the disclosed embodiments describedherein to implement the disclosed interface functionality. Depending onthe type of computer device, a user can interact with the computer witha keyboard, pointing device, touch screen, microphone, pen device orother input device now available or later developed.

An exemplary computer/client device 114 is shown directly connected toexchange computer system 100, such as via a T1 line, a common local areanetwork (LAN) or other wired and/or wireless medium for connectingcomputer devices, such as the network 420 shown in FIG. 4 and describedbelow with respect thereto. The exemplary computer/client device 114 isfurther shown connected to a radio 132. The user of radio 132, which mayinclude a cellular telephone, smart phone, or other wireless proprietaryand/or non-proprietary device, may be, for example, a trader or exchangeemployee. The radio user may transmit data transaction request messagescomprising orders or other information to the exemplary computer/clientdevice 114 or a user thereof. The user of the exemplary computer/clientdevice 114, or the exemplary computer/client device 114 alone and/orautonomously, may then transmit the electronic data transaction requestmessages comprising the trade or other information to the exchangecomputer system 100.

Exemplary computer/client devices 116 and 118 are coupled with a localarea network (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g., star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer/client devices 116 and 118 may communicate with eachother and with other computer and other devices which are coupled withthe LAN 124. Computer and other devices may be coupled with the LAN 124via twisted pair wires, coaxial cable, fiber optics or other wiredand/or wireless media. As shown in FIG. 1 , an exemplary wirelesspersonal digital assistant device (“PDA”) 122, such as a mobiletelephone, tablet based compute device, or other wireless device, maycommunicate with the LAN 124 and/or the Internet 126 via radio waves,such as via WiFi, Bluetooth and/or a cellular telephone based datacommunications protocol. PDA 122 may also communicate with exchangecomputer system 100 via a conventional wireless hub 128.

FIG. 1 also shows the LAN 124 coupled with a wide area network (“WAN”)126 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 126 includes the Internet126. The LAN 124 may include a router to connect LAN 124 to the Internet126. Exemplary computer device 120 is shown coupled directly to theInternet 126, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 126 via aservice provider therefore as is known. LAN 124 and/or WAN 126 may bethe same as the network 420 shown in FIG. 4 and described below withrespect thereto.

As was described above, the users of the data transaction processingsystem implemented by the exchange computer system 100 may include oneor more market makers 130 which may maintain a market by providingconstant bid and offer prices for a derivative or security to theexchange computer system 100, such as via one of the exemplarycomputer/client devices depicted. The exchange computer system 100 mayalso exchange information with other trade engines, such as trade engine138. One skilled in the art will appreciate that numerous additionalcomputers and systems may be coupled to exchange computer system 100.Such computers and systems may include clearing, regulatory and feesystems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer/client device 116 may include computer-executable instructionsfor receiving order information from a user and transmitting that orderinformation to an exchange computer system 100. In another example, theexemplary computer/client device 118 may include computer-executableinstructions for receiving market data from the exchange computer system100 and displaying that information to a user in accordance with thedisclosed embodiments as will be described below.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones, and other devices may also beconnected to exchange computer system 100. Moreover, one skilled in theart will appreciate that the topology shown in FIG. 1 is merely anexample and that the components shown in FIG. 1 may include othercomponents not shown and be connected by numerous alternativetopologies.

As shown in FIG. 1 , the Exchange computer system 100 includes acommunication module 140, match engine module 106, order books module110 and market data module 112 which may operate in conjunction with thedisclosed mechanisms as will be described with reference to FIG. 2 .However, as was discussed above, the disclosed mechanisms may beimplemented at any logical and/or physical point(s) through which therelevant message traffic, and responses thereto, flows or is otherwiseaccessible, including one or more gateway devices, modems, thecomputers, or terminals of one or more traders, etc.

FIG. 2 depicts a block diagram of a system 200 for ensuring a selectedvalue of a dynamically changing parameter, e.g. price, quantity, delta,etc., is used when generating an electronic data transaction requestmessage in a data transaction processing system, such as an electronictrading system 100, in which data items are transacted by a hardwarematching processor, such as of the match engine module 106 describedabove, that attempts to match electronic data transaction requestmessages, e.g. orders to trade a financial instrument, with electronicdata transaction request messages counter thereto for the same one ofthe data items based on multiple transaction parameters, e.g. price,quantity, specified by the electronic data transaction request messagesreceived from different client computers/devices, such as the clientdevices 112, 114, 116, 118, 120, 122, over a data communication network214, such as the network 420, 124, 126, and transmits electronic datatransaction result messages, e.g. market data, to the client computersindicative of the results thereof, each of the electronic datatransaction result messages comprising first and second resultparameters having values associated therewith, such as price, aggregateremaining quantity (which may be zero), or price and data indicative ofa change to previously reported quantity, etc. In one embodiment, thefirst result parameter comprises data indicative of a price of a dataitem and the second result parameter comprises data indicative of anavailable quantity of the data item at the price as a result of previousattempts to match electronic data transaction request messages for thedata item previously received by the hardware matching processor 106 ofthe data transaction processing system 100.

The system 200 may be implemented by any of the client devices 112, 114,116, 118, 120, 122 shown in FIG. 1 and may be implemented as anon-transitory computer readable medium having instructions storedtherein which, when executed by a processor, cause the processor tooperate as disclosed.

In particular, the system 200 includes a transaction receiver 230 whichis operative to, or may be implemented by first logic 206 stored in amemory 204 and executable by a processor 202, which may be the processor402 and memory 404 described below with respect to FIG. 4 , to cause theprocessor 202 to, receive a first electronic data transaction resultmessage, e.g. a market data message, via the data communication network214, which may be the network 420, 124, 126 described elsewhere herein,indicative of an attempt to match a first electronic data transactionrequest message by the hardware matching processor of the datatransaction processing system, e.g. the matching module 106 of theelectronic trading system 100. The data transaction result message mayindicate one or more available aggregate quantities, or changes thereto,at one or more price levels. It will be appreciated that the datatransaction result message may indicate other parameters in addition to,or in lieu of, quantity and price, such as delta, i.e. a ratio of changein price of an underlier to the corresponding change in a derivativeinstrument based thereon, other measure of a financial instrument nowknown or later developed, such as other “greeks”, i.e. measures of risksuch as Theta, Gamma, Vega or Rho wherein Theta represents the rate ofchange between an option portfolio and time, or time sensitivity, Gammarepresents the rate of change between an option portfolio's delta andthe underlying asset's price—in other words, second-order time pricesensitivity, Vega represents the rate of change between an optionportfolio's value and the underlying asset's volatility—in other words,sensitivity to volatility and Rho represents the rate of change betweenan option portfolio's value and the interest rate, or sensitivity to theinterest rate.

The system 200 further includes data store manager 232 coupled with thetransaction receiver 230 and which is operative to, or may beimplemented by second logic 208 stored in the memory 204 and executableby the processor 202 to cause the processor 202 to, determine, based ona first value of the first result parameter of the first electronic datatransaction result message, a first location in a first data store 240,which may be stored in the memory 204 or in a memory separate therefromcoupled therewith in which to store the first value of the first resultparameter and a second value of the second result parameter of the firstelectronic data transaction result message, the first location beingdetermined based on a relationship, such as an ascending or descendingordering, between the first value and any other values of the firstresult parameter of previously received electronic data transactionrequest messages stored in other locations in the first data store 240.The first location in the first data store 240 may be determined basedon a logical or physical arrangement or ordering therein. In particular,where the first location is determined based on an ordering of pricevalues, as was described above with respect to FIGS. 5A-5H, such as anascending or descending sort/order, the data, i.e., price values, etc.,stored in the first data store 240 may be stored in ordered locationstherein in the requisite ordering, i.e., a physical arrangement.Alternatively, the data stored in the first data store 240 may be storedin any location in association with data indicative of the ordering ofthe data values wherein by altering the ordering data values theordering of the associated price values may be modified, e.g.,reordered, i.e., a logical arrangement. In one embodiment, the locationsin the first data store 240 may be implemented using a linked/orderedlist data structure where each location is further associated with apointer data value which identifies or “points” to the next location inthe arrangement and wherein data values stored in locations may beinserted or removed from the data structure by modifying the values ofthe associated pointers. In one embodiment, the first data store 240 maybe a display buffer, or a memory coupled therewith, which is used togenerate or otherwise render a representation of the first data store240, such as a representation like that shown in FIGS. 5A-5H anddescribed in more detail below. In one embodiment, the first data store240 provides a user configurable or pre-defined fixed number oflocations, e.g. a fixed number of market depth price levels as describedabove, in which to store price values, which will be represented by theinterface 500 as well as additional locations for storing additionalprice values which, due to the ordering and limited market depth, arenot displayed but may eventually be moved, logically or physically, to alocation which is within the limited displayed market depth. It will beappreciated that the number of price levels stored in the first datastore 240 and displayed by the interface 500 may be variable and, forexample, may vary based on price volatility or transaction volume, e.g.,the rate and magnitude of changes, of the underlying financial product,increasing the number of levels in a highly volatile market anddecreasing the number of levels when volatility decreases.

Further, in the system 200, the data store manager 232 may be furtheroperative, such as via third logic 210 stored in the memory 204 andexecutable by the processor 202 to, cause the processor 202 to, store,in the first data store 240 coupled therewith, the first value of thefirst result parameter and the second value of the second resultparameter of the first electronic data transaction result message in thedetermined first location in the first data store 240 and where if thefirst value is not the same as any of the other values of first resultparameters stored in the first data store 240 and the first location isdetermined to be the same as one of the other locations, for at leastone of the other locations move the other values of the first and secondresult parameters stored therein to a new location. That is, the newvalue is logically or physically inserted and the remaining values, ifrequired, are logically or physically rearranged/moved according to theselected sort/arrangement. If the incoming data transaction resultmessage comprises a change to the available quantity of a price levelalready stored in the first data store 240 then only the quantity valuemay be updated. If the available locations in the first data store arenot all occupied there may be no need to rearrange/resort the storedvalues at all. As noted above, the rearrangement/re-sorting of thestored price values may be implemented logically via modification tosort parameters stored in association with the price values whichindicates the order/arrangement thereof. The sort parameters may beutilized in conjunction with a defined sort order, e.g., ascending ordescending, to control the presentation of the stored price values aswill be described.

Further, in the system 200, the data store manager 232 may be furtheroperative to, such as via fourth logic 212 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to, present,responsive to the storage of the first value, via an output interface244 coupled therewith, a user-interactive representation of the firstdata store 240 depicting at least the locations, as well as the valuesstored therein, at which values of the first and second resultparameters of previously received data transaction result messages arestored in the first data store 240. The presentation may take the formof an interactive sorted grid of cells as described above with respectto FIGS. 5A-5H. It will be appreciated that presentation of the firstdata store 240 may be continually updated/modified based on the receiptof additional data transaction result messages reflecting changes in thedepicted order book database as described above as those changes arestored in the first data store 240, e.g., in real time.

The system 200 may further include an input receiver 234, which may beimplemented by fifth logic 214 stored in the memory 204 and executableby the processor 202 to cause the processor 202 to receive a first inputfrom a user via a user interface device 246 coupled with the inputreceiver 234 or processor 202, the first input indicative of a selectionof a location in the first data store 240 of the first value via theuser-interactive representation presented via the output interface 244.As described above, the user interface device 246 may comprise acomputer mouse, or other input device operative to translate userinteraction/intention into data inputs to the processor 202.

In one embodiment, the input receiver 234 may be further operative toallow the user to interact with the user-interactive representationusing at least one user interface device 246 coupled with the inputreceiver 234 and operative to allow the user to indicate a selection ofany of the locations of the first data store 240 represented by theuser-interactive representation, wherein the first and second inputscomprise first and second operands generated by the at least one userinput device 246, wherein the first operand comprises a value indicativeof one of a first or second state and the second operand comprises avalue indicative of a represented location of the user-interactiverepresentation, the selection of a location being indicated when thefirst operand value is changed from a value indicative of the firststate to a value indicative of the second state and, while, e.g.,simultaneously or substantially simultaneously with, the first operandvalue indicates the second state, changing the value of the secondoperand from a value indicative of a location other than the selectedlocation to a value indicative of the selected location, and wherein thedirection to generate an electronic data transaction request messagecomprising transaction parameters based on the selected locationcomprises changing the first operand value from the value indicative ofthe second state to the value indicative of the first state while thesecond operand comprises the value indicative of the selected location.For example, the first operand may be indicative of a mouse button pressor finger tap/press, e.g., the first state is the button beingun-pressed/released and the second state indicates the button ispressed, and the second operand may comprise data indicative of aposition or movement, absolute or relative, of the device or a finger.Generally, the second state may be indicative of the user wishing toexecute a selection operation. In particular, the combination of thefirst and second operands is indicative of a gesture by the user withrespect to the user interface device 246. It will be appreciated anygestures may be utilized by the disclosed embodiments, such as “drag anddrop,” i.e. holding a button or key in a particular state while moving amouse or other input device such as to move a displayed cursor to aparticular location on the display and then releasing the button or keywhen the an appropriate location has been achieved, “click/move/click”,i.e. similar to drag and drop but the button or key is released duringmovement and pressed again upon arrival at the desired location,“press/drag/lift,” i.e. similar to drag and drop using a touch screenand a touch gesture by the user to touch the screen, drag their fingerto the desired location and lift their finger upon arrival thereat, and“tap/move/tap,” i.e. where the user taps a first location on a touchscreen, lifts and then moves their finger to tap at the desired locationon the touch screen.

In one embodiment, the selection of the location may be furtherindicated by the maintenance of the second operand having the valueindicative of the selected location for a minimum duration, e.g., 2milliseconds, while the first operand value indicates the second state.Alternatively, or in addition thereto, wherein the selected location isdefined by a boundary, such as the cell boundary shown in FIGS. 5A-5H,the selection of a location may be further indicated by positioning of acursor other indicator of location within a threshold distance of theboundary of a cell, such as by being within the boundary by more than 2pixels. Such mechanisms may present the system 200 from determining aselected location contrary to the intent of the user.

In one embodiment, as was shown above with respect to FIGS. 5A-5H, thelocations depicted by the user-interactive representation may furthercomprise data indicative of any previously generated and transmitteddata transaction request messages, i.e., orders placed by the user ofthe system 200, comprising transaction parameters based on the firstvalue presented as being stored in the location, and further whereinwhen the location other than the selected location comprises arepresentation of values of a previously generated and transmitted datatransaction request message, the generated electronic data transactionrequest message comprises a request to modify the previously generatedtransmitted electronic data transaction request message. As wasdescribed above, a user may drag the quantity value shown on thedisplay, representing the quantity of their own orders at a given pricelevel, to a new price level, in order to modify the price of thosepreviously placed orders.

In one embodiment, the input receiver 234 may be further operative toallow the user to modify, using at least one user interface device 246coupled with the processor, the first value stored in the second datastore 242 described below. As was described above, after a user hasselected a location/price level, e.g., by dragging their mouse to thatprice level, but before they direct the system to generate and transmita data transaction request message, e.g., an order, they may alter theprice of the order by actuating, for example, their mouse wheel, orotherwise an alternate input, such as an arrow key on a keyboard, tochange the price and/or quantity values of the order to be generated,wherein, as was described, whether the price or quantity is modified isdependent on the context/position of the mouse cursor or otherindicator.

Further, in the system 200, the transaction receiver 230 may be furtheroperative to, such as via sixth logic 216 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to, receive,subsequent to the receipt of the first input, a second electronic datatransaction result message via the data communication network 214indicative of an attempt to match another electronic data transactionrequest message by the hardware matching processor of the datatransaction processing system;

Further, in the system 200, the data store manager 232 may be furtheroperative to, such as via seventh logic 218 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to,determine, based on a third value of the first result parameter of thesecond electronic data transaction result message, a second location,logical or physical as was described above, in the first data store 240coupled therewith in which to store the third value of the first resultparameter and a fourth value of the second result parameter of thesecond electronic data transaction result message, the second locationbeing determined based on a relationship, e.g. an ascending ordescending sort/order or arrangement, between the third value and anyother values of the first result parameter of previously receivedelectronic data transaction request messages stored in other locationsin the first data store 240.

Further, in the system 200, the data store manager 232 may be furtheroperative to, such as via eighth logic 220 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to store, asdescribed above, in the first data store 240 coupled therewith, thethird value of the first result parameter and the fourth value of thesecond result parameter of the second electronic data transaction resultmessage in the determined second location in the first data store 240and where if the third value is not the same as any of the other valuesof first result parameters stored in the first data store 240 and thesecond location is determined to be the same as one of the otherlocations, for at least one of the other locations move, e.g. logicallyor physically, the other values of the first and second resultparameters stored therein to a new location, e.g., re-order/rearrangethe stored values, logically or physically, as necessary according tothe configured sort/arrangement as was described above.

In one embodiment, the data store manager 232 may be further operativeto update, subsequent to the storing of the third value of the firstresult parameter and the fourth value of the second result parameter ofthe second electronic data transaction result message, theuser-interactive representation of the first data store 240 depicting atleast the locations at which values of the first and second resultparameters of previously received data transaction result messages arestored in the first data store 240 as was described above.

Further, in the system 200, the data store manager 230 may be furtheroperative to, such as via ninth logic 222 stored in the memory 204 andexecutable by the processor 202 to cause, either immediately uponselection of a location as described above or subsequent to selectionupon a determination that the price value at the location is going to bechanged, the processor 202 to, store, in a second data store 242 coupledtherewith, e.g., a buffer memory, which may be part of the memory 204 ora memory separate therefrom, in response to, and at least subsequent toreceipt of, the received first input, the first value of the firstresult parameter of the first electronic data transaction resultmessage. In one embodiment, the second data store 242, e.g., buffermemory, holds only a single price value, and possible an associatedquantity, which is replaced when the user selects, e.g., drags to, adifferent location by the price value at that location upon arrival. Inan alternative embodiment, the second data store 242 may store multipleprice values, and associated quantities, and provide a function by whicha user may select from among the stored values.

In one embodiment, the data store manager 232 may be further operativeto present, via the output interface 244, a representation of the firstvalue stored in the second data store 242. The representation may takethe form of a tool tip, pop up, ghost image, or other indicator, asshown in FIGS. 5A-5H described above, displayed in conjunction with,adjacent to, or overlapping with the representation of the first datastore 240.

In one embodiment, the data store manager 232 may be further operativeto alter, e.g. change the color, font, size, or otherwise the appearanceof, the representation of the first value stored in the second datastore 242 when the first value stored in the second data store 242 isdifferent from a value stored in the first data store 240 at thelocation at which the first value was stored prior to the storing, bythe processor 202 in the first data store 240, of the third value of thefirst result parameter and the fourth value of the second resultparameter of the second electronic data transaction result message.

Further, in the system 200, the input receiver 234 may be furtheroperative to, such as via tenth logic 224 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to, receive,at least subsequent to the receipt of the second electronic datatransaction result message, a second input, e.g. a release of theirmouse button as described above, from the user via the user interfacedevice 246 coupled with the processor 202, the second input indicativeof a direction to generate an electronic data transaction requestmessage comprising transaction parameters based on the selected locationof the first value of the first data store 240 as presented via theoutput interface 244 and transmit the generated electronic datatransaction request message, e.g. via the network 214, to the datatransaction processing system. As noted above, the parameters of thegenerated data transaction request may depend upon the selected locationor otherwise the position of the mouse cursor with respect to therepresentation of the first data store 240. For example, if the userdrags a quantity value of their own prior orders to a new price level,the quantity parameter of the new generated data transaction request maybe set to the selected quantity, subject to alteration by the user asdescribed above, and the type of order may set to an order modificationto alter the price of previously submitted orders. Similarly, the typeof order may be set by the location at which the user started to dragand where they released their mouse, e.g., if they drag a quantity orblank cell to a new price level but keep their cursor on the same (bidor ask) side of the displayed grid, a new or modified order may begenerated but if they drag to the other side of the grid, e.g. from bidto ask or ask to bid, an aggressing order may be generated, e.g. a buyorder when dragged from bid to ask or a sell order when dragged from askto bid. As was described above, the quantity parameter of the newlygenerated order may be set based on the originating location of the dragoperation, based on the settings of other user interface controls, aswere described above, or automatically such as in the case of anaggressing order which may be automatically set to the aggregatequantity available at the selected price level and all quantity of pricelevels that are better, e.g., to allow a sweep of the market.

The system 200 further includes a transaction generator 236 coupled withthe input receiver 234 and the second data store 242, which may beimplemented by eleventh logic 226 stored in the memory 204 andexecutable by the processor 202 to cause the processor 202 to generatethe electronic data transaction request message, e.g., an order,comprising one or more transaction parameters based on the first valueof the first result parameter of the first electronic data transactionresult message as stored in the second data store 242. That is, asopposed to using the price value stored at the selected location in thefirst data store 240, which may have changed due to receipt of asubsequent data transaction result message, e.g., a market data update,the value is taken from the second data store 242. This ensures pricecertainty, i.e., that the user's newly generated order uses the pricethe user intended when they selected the displayed price level,regardless whether that price level subsequently changes.

The system 200 further includes a transaction transmitter 238 coupledwith the transaction generator 236, which may be implemented by twelfthlogic 228 stored in the memory 204 and executable by the processor 202to cause the processor 202 to transmit the generated electronic datatransaction request message to the data transaction processing system100 via the data communication network 214. The system 200 may then befurther operative to update the displayed interface 500 to reflect theuser's pending order/quantity as described above.

In one embodiment each price level may be stored in a separate datastructure in the first data store 204 wherein each price level datastructure stores the price value and may store additional informationsuch as an identifier of the financial instrument/contract, the side(buy or sell), the available quantity at the price level, an impliedprice, an implied quantity, and the current quantity of one or moreorders placed by the user of the system 200 at the price level. Theprice level structures for all of the price levels may then be storedin, for example, two array data structures, one for buy/bid price leveldata structures, referred to as the “bidstack” and another for ask/sellprice level data structures, referred to as the “offerstack,” where thesize of these arrays corresponds to the maximum market depth madeavailable by the data transaction processing system/electronic tradingsystem 100, e.g., 10 price levels. As the user starts their dragoperation (referred to as a OnMouseDownEvent), as described above, thedata store manager 230 evaluates the mouse cursor position to determinethe relevant price level thereto, as was described. The data storemanager 230 then accesses a data structure referred to as an OrderCachewhich stores an order object for each order placed by the user of thesystem 200 for the financial instruments, the price level side (buy orsell) and the price value and generates a list from which the totalquantity to be moved to a new price is derived/extracted. If this is anew blank order, then this list will be populated only with the neworder parameters. When the mouse cursor is moved, the position of thecursor is re-evaluated to determine whether it is now resting over a newPriceLevel, and if so the new price of the new price level is copiedinto the second data store 242. If the user actuates the mouse wheel, itis similarly determined wheel position has changed, e.g., the startingand ending positions, and potentially adjust the Price or Quantity intosecond data store 242. Once the user drops, e.g., releases the mousebutton, referred to as “OnMouseUpEvent,” the system 200 then evaluateswhether the mouse cursor is still positioned over a relevant PriceLevel,and if so the system 200 employs an algorithm to Add, Amend or Cancelthe List of orders in order to make them conform to the newly chosenPrice and Quantity. This may involve creating new orders, amendingexisting orders or cancelling some of the orders in order to achieve thedesired quantity. Note that when reducing the quantity at thePriceLevel, where there are multiple orders, the newest order first maybe amended first, in order to maintain the price time priority of theoldest order. Note that when increasing the quantity at the PriceLevel,a new order may be created, in order to maintain the price time priorityof the oldest order.

FIG. 3 depicts a flow chart showing operation of the system 200 of FIG.2 . In particular, FIG. 3 shows a computer implemented method ofensuring a selected value of a dynamically changing parameter is usedwhen generating an electronic data transaction request message in a datatransaction processing system in which data items are transacted by ahardware matching processor that attempts to match electronic datatransaction request messages with electronic data transaction requestmessages counter thereto for the same one of the data items based onmultiple transaction parameters specified by the electronic datatransaction request messages received from different client computersover a data communication network and transmits electronic datatransaction result messages to the client computers indicative of theresults thereof, each of the electronic data transaction result messagescomprising first and second result parameters having values associatedtherewith, such as price, aggregate remaining quantity (which may bezero), or price and data indicative of a change to previously reportedquantity, etc. In one embodiment, the first result parameter comprisesdata indicative of a price of a data item and the second resultparameter comprises data indicative of an available quantity of the dataitem at the price as a result of previous attempts to match electronicdata transaction request messages for the data item previously receivedby the hardware matching processor 106 of the data transactionprocessing system 100.

The operation of the system 200 includes: receiving, by a processor 202,a first electronic data transaction result message via the datacommunication network 214 indicative of an attempt to match a firstelectronic data transaction request message by the hardware matchingprocessor 106 of the data transaction processing system 100 (Block 302).The data transaction result message may indicate one or more availableaggregate quantities, or changes thereto, at one or more price levels.

The operation of the system 200 further includes determining, by theprocessor 202 based on a first value of the first result parameter ofthe first electronic data transaction result message, a first locationin a first data store 240 coupled therewith in which to store the firstvalue of the first result parameter and a second value of the secondresult parameter of the first electronic data transaction resultmessage, the first location being determined based on a relationship,such as an ascending or descending ordering, between the first value andany other values of the first result parameter of previously receivedelectronic data transaction request messages stored in other locationsin the first data store 240 (Block 304). The first location in the firstdata store 240 may be determined based a logical or physical arrangementor ordering therein. In particular, where the first location isdetermined based on an ordering of price values, as was described abovewith respect to FIGS. 5A-5H, such as an ascending or descendingsort/order, the data, i.e., price values, etc., stored in the first datastore 240 may be stored in ordered locations therein in the requisiteordering, i.e., a physical arrangement. Alternatively, the data storedin the first data store 240 may be stored in any location in associationwith data indicative of the ordering of the data values wherein byaltering the ordering data values the ordering of the associated pricevalues may be modified, e.g., reordered, i.e., a logical arrangement. Inone embodiment, the first data store 240 may be a display buffer, or amemory coupled therewith, which is used to generate or otherwise rendera representation of the first data store 240, such as a representationlike that shown in FIGS. 5A-5H and described in more detail below. Inone embodiment, the first data store 240 provides a user configurable orpre-defined fixed number of locations, e.g. a fixed number of marketdepth price levels as described above, in which to store price values,which will be represented by the interface 500 as well as additionallocations for storing additional price values which, due to the orderingand limited market depth, are not displayed but may eventually be moved,logically or physically, to a location which is within the limiteddisplayed market depth. It will be appreciated that the number of pricelevels stored in the first data store 240 and displayed by the interface500 may be variable and, for example, may vary based on price volatilityor transaction volume, e.g., the rate and magnitude of changes, of theunderlying financial product, increasing the number of levels in ahighly volatile market and decreasing the number of levels whenvolatility decreases.

The operation of the system 200 further includes storing, by theprocessor 202 in the first data store 240 coupled therewith, the firstvalue of the first result parameter and the second value of the secondresult parameter of the first electronic data transaction result messagein the determined first location in the first data store 240 and whereif the first value is not the same as any of the other values of firstresult parameters stored in the first data store 240 and the firstlocation is determined to be the same as one of the other locations, forat least one of the other locations moving the other values of the firstand second result parameters stored therein to a new location (Block306). That is, the new value is logically or physically inserted and theremaining values, if required, are logically or physicallyrearranged/moved according to the selected sort/arrangement. If theincoming data transaction result message comprises a change to theavailable quantity of a price level already stored in the first datastore 240 then only the quantity value may be updated. If the availablelocations in the first data store are not all occupied there may be noneed to rearrange/resort the stored values at all. As noted above, therearrangement/re-sorting of the stored price values may be implementedlogically via modification to sort parameters stored in association withthe price values which indicates the order/arrangement thereof. The sortparameters may be utilized in conjunction with a defined sort order,e.g., ascending or descending, to control the presentation of the storedprice values as will be described.

The operation of the system 200 further includes presenting, by theprocessor 202, responsive to the storing, via an output interface 244coupled therewith, a user-interactive representation of the first datastore 240 depicting at least the locations, at which values of the firstand second result parameters of previously received data transactionresult messages are stored in the first data store 240 (Block 308). Thepresentation may take the form of an interactive sorted grid of cells asdescribed above with respect to FIGS. 5A-5H. It will be appreciated thatpresentation of the first data store 240 may be continuallyupdated/modified based on the receipt of additional data transactionresult messages reflecting changes in the depicted order book databaseas described above as those changes are stored in the first data store240, e.g., in real time.

The operation of the system 200 further includes receiving, by theprocessor 202, a first input from a user via at least one user interfacedevice 246 coupled with the processor 202, the first input indicative ofa selection of a location in the first data store 240 of the first valuevia the user-interactive representation presented via the outputinterface 244 (Block 310). As described above, the user interface device246 may comprise a computer mouse, or other input device operative totranslate user interaction/intention into data inputs to the processor202.

In one embodiment, the operation of the system 200 further includesallowing, by the processor 202, the user to interact with theuser-interactive representation using the at least one user interfacedevice 246 coupled with the processor 202 and allowing the user toindicate a selection of any of the locations of the first data store 240represented by the user-interactive representation, wherein the firstand second inputs comprise first and second operands generated by the atleast one user input device 246, wherein the first operand comprises avalue indicative of one of a first or second state and the secondoperand comprises a value indicative of a represented location of theuser-interactive representation, the selection of a location beingindicated when the first operand value is changed from a valueindicative of the first state to a value indicative of the second stateand, while, e.g., simultaneously or substantially simultaneously with,the first operand value indicates the second state, changing the valueof the second operand from a value indicative of a location other thanthe selected location to a value indicative of the selected location,and wherein the direction to generate an electronic data transactionrequest message comprising transaction parameters based on the selectedlocation comprises changing the first operand value from the valueindicative of the second state to the value indicative of the firststate while the second operand comprises the value indicative of theselected location (Block 326). For example, the first operand may beindicative of a mouse button press or finger tap/press, e.g., the firststate is the button being un-pressed/released and the second stateindicates the button is pressed, and the second operand may comprisedata indicative of a position or movement, absolute or relative, of thedevice or a finger. Generally, the second state may be indicative of theuser wishing to execute a selection operation. In particular, thecombination of the first and second operands is indicative of a gestureby the user with respect to the user interface device 246. It will beappreciated that any gestures may be utilized by the disclosedembodiments, such as “drag and drop,” i.e., holding a button or key in aparticular state while moving a mouse or other input device such as tomove a displayed cursor to a particular location on the display and thenreleasing the button or key when the appropriate location has beenachieved, “click/move/click”, i.e., similar to drag and drop but thebutton or key is released during movement and pressed again upon arrivalat the desired location, “press/drag/lift,” i.e., similar to drag anddrop using a touch screen and a touch gesture by the user to touch thescreen, drag their finger to the desired location and lift their fingerupon arrival thereat, and “tap/move/tap,” i.e., where the user taps afirst location on a touch screen, lifts and then moves their finger totap at the desired location on the touch screen.

In one embodiment, the selection of the location may be furtherindicated by the maintenance of the second operand having the valueindicative of the selected location for a minimum duration, e.g., 2milliseconds, while the first operand value indicates the second state.Alternatively, or in addition thereto, wherein the selected location isdefined by a boundary, such as the cell boundary shown in FIGS. 5A-5H,the selection of a location may be further indicated by positioning of acursor other indicator of location within a threshold distance of theboundary of a cell, such as by being within the boundary by more than 2pixels. Such mechanisms may present the system 200 from determining aselected location contrary to the intent of the user.

In one embodiment, as was shown above with respect to FIGS. 5A-5H, thelocations depicted by the user-interactive representation may furthercomprise data indicative of any previously generated and transmitteddata transaction request messages, i.e., orders placed by the user ofthe system 200, comprising transaction parameters based on the firstvalue presented as being stored in the location, and further whereinwhen the location other than the selected location comprises arepresentation of values of a previously generated and transmitted datatransaction request message, the generated electronic data transactionrequest message comprises a request to modify the previously generatedtransmitted electronic data transaction request message. As wasdescribed above, a user may drag the quantity value shown on thedisplay, representing the quantity of their own orders at a given pricelevel, to a new price level, in order to modify the price of thosepreviously placed orders.

In one embodiment, the operation of the system 200 further includesallowing, by the processor 202, the user to modify, using at least oneuser interface device 246 coupled with the processor 202, the firstvalue stored in the second data store 242 (Block 328). As was describedabove, after a user has selected a location/price level, e.g., bydragging their mouse to that price level, but before they direct thesystem to generate and transmit a data transaction request message,e.g., an order, they may alter the price of the order by actuating, forexample, their mouse wheel, or otherwise an alternate input, such as anarrow key on a keyboard, to change the price and/or quantity values ofthe order to be generated, wherein, as was described, whether the priceor quantity is modified is dependent on the context/position of themouse cursor or other indicator.

The operation of the system 200 further includes receiving, by theprocessor 202 subsequent to the receipt of the first input, a secondelectronic data transaction result message via the data communicationnetwork 214 indicative of an attempt to match another electronic datatransaction request message by the hardware matching processor 106 ofthe data transaction processing system 100 (Block 312).

The operation of the system 200 further includes determining, by theprocessor 202 based on a third value of the first result parameter ofthe second electronic data transaction result message, a secondlocation, logical or physical as was described above, in the first datastore 240 coupled therewith in which to store the third value of thefirst result parameter and a fourth value of the second result parameterof the second electronic data transaction result message, the secondlocation being determined based on a relationship, e.g., an ascending ordescending sort/order or arrangement, between the third value and anyother values of the first result parameter of previously receivedelectronic data transaction request messages stored in other locationsin the first data store 240 (Block 314).

The operation of the system 200 further includes storing, as describedabove, by the processor 202 in the first data store 240 coupledtherewith, the third value of the first result parameter and the fourthvalue of the second result parameter of the second electronic datatransaction result message in the determined second location in thefirst data store 240 and where if the third value is not the same as anyof the other values of first result parameters stored in the first datastore 240 and the second location is determined to be the same as one ofthe other locations, for at least one of the other locations moving,e.g., logically or physically, the other values of the first and secondresult parameters stored therein to a new location, e.g.,re-order/rearrange the stored values, logically or physically, asnecessary according to the configured sort/arrangement as was describedabove. (Block 316).

In one embodiment, as was described above, the operation of the system200 may further include updating, by the processor 202 subsequent to thestoring of the third value of the first result parameter and the fourthvalue of the second result parameter of the second electronic datatransaction result message, the user-interactive representation of thefirst data store 240 depicting at least the locations at which values ofthe first and second result parameters of previously received datatransaction result messages are stored in the first data store 240(Block 334).

The operation of the system 200 further includes storing, by theprocessor 202 in a second data store 242, e.g., a buffer memory, coupledtherewith, in response to, and at least subsequent to receipt of, thereceived first input, e.g., either immediately upon selection of alocation as described above or subsequent to selection upon adetermination that the price value at the location is going to bechanged, the first value of the first result parameter of the firstelectronic data transaction result message (Block 318). In oneembodiment, the second data store 242, e.g., the buffer memory, holdsonly a single price value, and a possible associated quantity, which isreplaced when the user selects, e.g., drags to, a different location bythe price value at that location upon arrival. In an alternativeembodiment, the second data store 242 may store multiple price values,and associated quantities, and provide a function by which a user mayselect from among the stored values.

In one embodiment, the operation of the system 200 may further includepresenting, by the processor 202, via the output interface 244, arepresentation of the first value stored in the second data store 242(Block 330). The representation may take the form of a tool tip, pop up,ghost image, or other indicator, as shown in FIGS. 5A-5H describedabove, displayed in conjunction with, adjacent to, or overlapping withthe representation of the first data store 240.

In one embodiment, the operation of the system 200 may further includealtering, e.g., via a change in the color, font, size, or otherwise theappearance, by the processor 202, the representation of the first valuestored in the second data store 242 when the first value stored in thesecond data store 242 is different from a value stored in the first datastore 240 at the location at which the first value was stored prior tothe storing, by the processor 202 in the first data store 240, of thethird value of the first result parameter and the fourth value of thesecond result parameter of the second electronic data transaction resultmessage (Block 332).

The operation of the system 200 further includes receiving, by theprocessor 202 at least subsequent to the receipt of the secondelectronic data transaction result message, a second input, e.g., arelease of their mouse button as described above, from the user via theat least one user interface device 246 coupled with the processor 202,the second input indicative of a direction to generate an electronicdata transaction request message comprising transaction parameters basedon the selected location of the first value of the first data store 240as presented via the output interface 244 and transmit, e.g., via thenetwork 214, the generated electronic data transaction request messageto the data transaction processing system 100 (Block 320). As notedabove, the parameters of the generated data transaction request maydepend upon the selected location or otherwise the position of the mousecursor with respect to the representation of the first data store 240.For example, if the user drags a quantity value of their own priororders to a new price level, the quantity parameter of the new generateddata transaction request may be set to the selected quantity, subject toalteration by the user as described above, and the type of order may setto an order modification to alter the price of previously submittedorders. Similarly, the type of order may be set by the location at whichthe user started to drag and where they released their mouse, e.g., ifthey drag a quantity or blank cell to a new price level but keep theircursor on the same (bid or ask) side of the displayed grid, a new ormodified order may be generated but if they drag to the other side ofthe grid, e.g., from bid to ask or ask to bid, an aggressing order maybe generated, e.g., a buy order when dragged from bid to ask or a sellorder when dragged from ask to bid. As was described above, the quantityparameter of the newly generated order may be set based on theoriginating location of the drag operation, based on the settings ofother user interface controls, as were described above, or automaticallysuch as in the case of an aggressing order which may be automaticallyset to the aggregate quantity available at the selected price level andall quantity of price levels that are better, e.g., to allow a sweep ofthe market.

The operation of the system 200 further includes generating, by theprocessor 202, the electronic data transaction request message, e.g., anorder, comprising one or more transaction parameters based on the firstvalue of the first result parameter of the first electronic datatransaction result message as stored in the second data store 242 (Block322). That is, as opposed to using the price value stored at theselected location in the first data store 240, which may have changeddue to receipt of a subsequent data transaction result message, e.g., amarket data update, the value is taken from the second data store 242.This ensures price certainty, i.e., that the user's newly generatedorder uses the price the user intended when they selected the displayedprice level, regardless whether that price level subsequently changes.

The operation of the system 200 further includes transmitting, by theprocessor 202, the generated electronic data transaction request messageto the data transaction processing system 100 via the data communicationnetwork 214 (Block 324). The displayed interface 500 may then be updatedto reflect the user's pending order/quantity as described above.

Referring to FIG. 4 , an illustrative embodiment of a general computersystem 400 is shown. The computer system 400 can include a set ofinstructions that can be executed to cause the computer system 400 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 400 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed above,such as the processor 202, may be a computer system 400 or a componentin the computer system 400. The computer system 400 may implement amatch engine, margin processing, payment or clearing function on behalfof an exchange, such as the Chicago Mercantile Exchange, of which thedisclosed embodiments are a component thereof.

In a networked deployment, the computer system 400 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 400 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 400 can be implemented using electronicdevices that provide voice, video, or data communication. Further, whilea single computer system 400 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 4 , the computer system 400 may include aprocessor 402, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 402 may be a component ina variety of systems. For example, the processor 402 may be part of astandard personal computer or a workstation. The processor 402 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 402 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 400 may include a memory 404 that can communicatevia a bus 408. The memory 404 may be a main memory, a static memory, ora dynamic memory. The memory 404 may include but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,content addressable memory, flash memory, magnetic tape or disk, opticalmedia, and the like. In one embodiment, the memory 404 includes a cacheor random access memory for the processor 402. In alternativeembodiments, the memory 404 is separate from the processor 402, such asa cache memory of a processor, the system memory, or other memory. Thememory 404 may be an external storage device or database for storingdata. Examples include a hard drive, compact disc (“CD”), digital videodisc (“DVD”), memory card, memory stick, floppy disc, universal serialbus (“USB”) memory device, or any other device operative to store data.The memory 404 is operable to store instructions executable by theprocessor 402. The functions, acts or tasks illustrated in the figuresor described herein may be performed by the programmed processor 402executing the instructions 412 stored in the memory 404. The functions,acts or tasks are independent of the particular type of instructionsset, storage media, processor or processing strategy and may beperformed by software, hardware, integrated circuits, firm-ware,micro-code, and the like, operating alone or in combination. Likewise,processing strategies may include multiprocessing, multitasking,parallel processing, and the like.

As shown, the computer system 400 may further include a display unit414, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 414may act as an interface for the user to see the functioning of theprocessor 402, or specifically as an interface with the software storedin the memory 404 or in the drive unit 406.

Additionally, the computer system 400 may include an input device 416configured to allow a user to interact with any of the components ofsystem 400. The input device 416 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control, or any other device operative to interact withthe system 400.

In a particular embodiment, as depicted in FIG. 4 , the computer system400 may also include a disk or optical drive unit 406. The disk driveunit 406 may include a computer-readable medium 410 in which one or moresets of instructions 412, e.g., software, can be embedded. Further, theinstructions 412 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 412 mayreside completely, or at least partially, within the memory 404 and/orwithin the processor 402 during execution by the computer system 400.The memory 404 and the processor 402 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 412 or receives and executes instructions 412responsive to a propagated signal, so that a device connected to anetwork 420 can communicate voice, video, audio, images, or any otherdata over the network 420. Further, the instructions 412 may betransmitted or received over the network 420 via a communicationinterface 418. The communication interface 418 may be a part of theprocessor 402 or may be a separate component. The communicationinterface 418 may be created in software or may be a physical connectionin hardware. The communication interface 418 is configured to connectwith a network 420, external media, the display 414, or any othercomponents in system 400, or combinations thereof. The connection withthe network 420 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system400 may be physical connections or may be established wirelessly.

The network 420 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 420 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding, or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms ofnon-volatile memory, media and memory devices, including by way ofexample semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well; for example, feedbackprovided to the user can be any form of sensory feedback, e.g., visualfeedback, auditory feedback, or tactile feedback; and input from theuser can be received in any form, including acoustic, speech, or tactileinput.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., as a data server, or that includes a middleware component, e.g.,an application server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A computer implemented method comprising:displaying, by a processor via a graphical user interface (GUI) coupledtherewith, a first display region comprising a grid of cellscorresponding to a plurality of electronic messages each comprisingorder data stored in a database, the order data of each electronicmessage of the plurality of electronic messages being associated with afirst value and a second value, a first cell of the grid of cells of thefirst display region corresponding to the first value associated with anelectronic message and a second cell of the grid of cells of the firstdisplay region corresponding to the second value associated with theelectronic message, wherein the first cell and the second cellassociated with the electronic message are located along a common staticfirst value axis; displaying, by the processor via the GUI, an orderentry region adjacent to the first display region comprising a grid ofcells for receiving commands to send trade orders, each cellcorresponding to a third value along the common static first value axis;updating, by the processor, the first display region of the GUI upon achange in the database caused by a subsequently stored order datacomprising a particular first value and an associated particular secondvalue, wherein the change causes the GUI to update the prior displayedgrid of cells at which at least a subset of the prior displayedplurality of first and second values are displayed based on theparticular first value and the associated particular second value of thesubsequently stored order data; receiving, by the processor, acombination of two or more inputs provided by the user, indicative of asequential indication of a third cell and a fourth cell of the orderentry region; and generating, by the processor responsive to thecombination of inputs, a transaction request comprising the first andthird values displayed at the third cell, the fourth cell, or acombination thereof at a time of receipt of at least one of thecombination of inputs regardless of whether the displayed plurality offirst and second values has subsequently changed.
 2. The computerimplemented method of claim 1, wherein the first value comprises a tradeprice value, the second value comprises a quantity value, and the thirdvalue comprises a desired quantity value.
 3. The computer implementedmethod of claim 2, wherein the quantity value comprises an indicator ofa net change in quantity.
 4. The computer implemented method of claim 2,wherein each of the electronic messages further specifies a side.
 5. Thecomputer implemented method of claim 1, wherein the database comprisesan order book database of a data transaction processing system in whichdata items are transacted by a hardware matching processor that attemptsto match electronic data transaction request messages with electronicdata transaction request messages counter thereto for the same one ofthe data items based on multiple transaction parameters specified by theelectronic data transaction request messages stored in the order bookdatabase, wherein the electronic data transaction request messages werepreviously received from different client computers over a datacommunication network and transmits electronic messages to the clientcomputers indicative of the results thereof, the generated transactionrequest comprising an order to transact.
 6. The computer implementedmethod of claim 1, wherein each cell within the GUI at which one of theplurality of second values is displayed comprises a price level, eachsecond value indicative of a total quantity available at that pricelevel.
 7. The computer implemented method of claim 6 wherein the GUIdisplays only a select number of price levels.
 8. The computerimplemented method of claim 6 wherein the GUI displays price levels forbuy orders and sell orders in adjacent regions.
 9. The computerimplemented method of claim 6 wherein the GUI displays price levels forbuy orders and sell orders in continuous regions sorted by price level.10. The computer implemented method of claim 6 wherein the GUI does notdisplay price levels when the total quantity available at that pricelevel is zero.
 11. The computer implemented method of claim 1, whereinthe combination of two or more inputs comprises depressing a mousebutton when a pointer displayed on the GUI and controlled thereby islocated at the third cell, moving the mouse such that the pointer movesto the fourth cell, and releasing the mouse button.
 12. The computerimplemented method of claim 1, wherein the generated transaction requestcomprises one of an order to transact or a modification to a previousorder to transact.
 13. The computer implemented method of claim 1,wherein the combination of two or more inputs comprises touching a touchsensitive device at a position on the device associated with the thirdcell, moving to a second position on the device associated with thefourth cell, and ceasing touching the touch sensitive device.
 14. Asystem comprising: a graphical user interface (GUI) comprising a firstdisplay region and an order entry region adjacent to the first displayregion; a processor coupled with the GUI operative to: display, via theGUI, the first display region comprising a grid of cells correspondingto a plurality of electronic messages each comprising order data storedin a database, the order data of each electronic message of theplurality of electronic messages being associated with a first value anda second value, a first cell of the grid of cells of the first displayregion corresponding to the first value associated with an electronicmessage and a second cell of the grid of cells of the first displayregion corresponding to the second value associated with the electronicmessage, wherein the first cell and the second cell associated with theelectronic message are located along a common static first value axis;display, by via the GUI, the order entry region comprising a grid ofcells for receiving commands to send trade orders, each cellcorresponding to a third value along the common static first value axis;update the first display region of the GUI upon a change in the databasecaused by a subsequently stored order data comprising a particular firstvalue and an associated particular second value, wherein the changecauses the GUI to update the prior displayed grid of cells at which atleast a subset of the prior displayed plurality of first and secondvalues are displayed based on the particular first value and theassociated particular second value of the subsequently stored orderdata; receive a combination of two or more inputs provided by the user,indicative of a sequential indication of a third cell and a fourth cellof the order entry region; and generate, responsive to the combinationof inputs, a transaction request comprising the first and third valuesdisplayed at the third cell, the fourth cell, or a combination thereofat a time of receipt of at least one of the combination of inputsregardless of whether the displayed plurality of first and second valueshas subsequently changed.
 15. The system of claim 14, wherein the firstvalue comprises a trade price value, the second value comprises aquantity value, and the third value comprises a desired quantity value.16. The system of claim 15, wherein the quantity value comprises anindicator of a net change in quantity.
 17. The system of claim 15,wherein each of the electronic messages further specifies a side. 18.The system of claim 14, wherein the database comprises an order bookdatabase of a data transaction processing system in which data items aretransacted by a hardware matching processor that attempts to matchelectronic data transaction request messages with electronic datatransaction request messages counter thereto for the same one of thedata items based on multiple transaction parameters specified by theelectronic data transaction request messages stored in the order bookdatabase, wherein the electronic data transaction request messages werepreviously received from different client computers over a datacommunication network and transmits electronic messages to the clientcomputers indicative of the results thereof, the generated transactionrequest comprising an order to transact.
 19. The system of claim 14,wherein each location within the GUI at which one of the plurality ofsecond values is displayed comprises a price level, each second valueindicative of a total quantity available at that price level.
 20. Thesystem of claim 19, wherein the GUI displays only a select number ofprice levels.
 21. The system of claim 19, wherein the GUI displays pricelevels for buy orders and sell orders in adjacent regions.
 22. Thesystem of claim 19, wherein the GUI displays price levels for buy ordersand sell orders in continuous regions sorted by price level.
 23. Thesystem of claim 19, wherein the GUI does not display price levels whenthe total quantity available at that price level is zero.
 24. The systemof claim 14, wherein the combination of two or more inputs comprisesdepressing a mouse button when a pointer displayed on the GUI andcontrolled thereby is located at the third cell, moving the mouse suchthat the pointer moves to the fourth cell, and releasing the mousebutton.
 25. The system of claim 14, wherein the generated transactionrequest comprises one of an order to transact or a modification to aprevious order to transact.
 26. The system of claim 14, wherein thecombination of two or more inputs comprises touching a touch sensitivedevice at a position on the device associated with the third cell,moving to a second position on the device associated with the fourthcell, and ceasing touching the touch sensitive device.
 27. A systemcomprising: means for displaying, via a graphical user interface (GUI),a first display region comprising a grid of cells corresponding to aplurality of electronic messages each comprising order data stored in adatabase, the order data of each electronic message of the plurality ofelectronic messages being associated with a first value and a secondvalue, a first cell of the grid of cells of the first display regioncorresponding to the first value associated with an electronic messageand a second cell of the grid of cells of the first display regioncorresponding to the second value associated with the electronicmessage, wherein the first cell and the second cell associated with theelectronic message are located along a common static first value axis;means for displaying, via the GUI, an order entry region adjacent to thefirst display region comprising a grid of cells for receiving commandsto send trade orders, each cell corresponding to a third value along thecommon static first value axis; means for updating, the first displayregion of the GUI upon a change in the database caused by a subsequentlystored order data comprising a particular first value and an associatedparticular second value, wherein the change causes the GUI to update theprior displayed grid of cells at which at least a subset of the priordisplayed plurality of first and second values are displayed based onthe particular first value and the associated particular second value ofthe subsequently stored order data; means for receiving, a combinationof two or more inputs provided by the user, indicative of a sequentialindication of a third cell and a fourth cell of the order entry region;and means for generating, responsive to the combination of inputs, atransaction request comprising the first and third values displayed atthe third cell, the fourth cell, or a combination thereof at a time ofreceipt of at least one of the combination of inputs regardless ofwhether the displayed plurality of first and second values hassubsequently changed.